SDE Based Regression for Linear Random PDEs
DOI10.1137/16M1060637zbMath1372.65012OpenAlexW2731768645MaRDI QIDQ5275045
Marcel Ladkau, Felix Anker, Johannes Neumann, Christian Bayer, Martin Eigel, John G. M. Schoenmakers
Publication date: 7 July 2017
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/16m1060637
Monte Carlostochastic differential equationsstochastic simulationuncertainty quantificationpartial differential equations with random coefficientsFeynman-Kacstochastic regressionEuler-Maruyamarandom PDE
Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Layer methods for stochastic Navier-Stokes equations using simplest characteristics
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
- Adaptive stochastic Galerkin FEM
- Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
- Automated solution of differential equations by the finite element method. The FEniCS book
- Solving elliptic boundary value problems with uncertain coefficients by the finite element method: the stochastic formulation
- Galerkin methods for linear and nonlinear elliptic stochastic partial differential equations
- Strong uniform consistency of nonparametric regression function estimates
- Optimal filtering of square-integrable signals in Gaussian noise
- An analysis of a least squares regression method for American option pricing
- Elliptic partial differential equations of second order
- Finite elements for elliptic problems with stochastic coefficients
- Multilevel Monte Carlo method for parabolic stochastic partial differential equations
- Stopped diffusion processes: boundary corrections and overshoot
- Analysis of discrete least squares on multivariate polynomial spaces with evaluations at low-discrepancy point sets
- An Introduction to Computational Stochastic PDEs
- Multivariate Discrete Least-Squares Approximations with a New Type of Collocation Grid
- Sparse tensor discretizations of high-dimensional parametric and stochastic PDEs
- Regression Methods for Stochastic Control Problems and Their Convergence Analysis
- Convergence rates for sparse chaos approximations of elliptic problems with stochastic coefficients
- Adaptive weak approximation of reflected and stopped diffusions
- Spectral Methods for Uncertainty Quantification
- A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
- An Anisotropic Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
- Galerkin Finite Element Approximations of Stochastic Elliptic Partial Differential Equations
- Adaptive weak approximation of stochastic differential equations
- Quasi-Monte Carlo Finite Element Methods for a Class of Elliptic Partial Differential Equations with Random Coefficients
- Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and Its Application to Multilevel Monte Carlo Methods
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Adaptive Monte Carlo Algorithms for Stopped Diffusion
- Expansion of the global error for numerical schemes solving stochastic differential equations
- A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data