Time-scale calculus

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Explicit Stabilized Multirate Method For Stiff Stochastic Differential Equations

Assyr Abdulle, Giacomo Rosilho De Souza

Stabilized explicit methods are particularly efficient, for large systems of stiff stochastic differential equations (SDEs) due to their extended stability domain. However, they lose their efficiency when a severe stiffness is induced by very few "fast" de ...

SIAM PUBLICATIONS2022

Drift Estimation of Multiscale Diffusions Based on Filtered Data

Assyr Abdulle, Giacomo Garegnani, Andrea Zanoni, Grigorios A. Pavliotis

We study the problem of drift estimation for two-scale continuous time series. We set ourselves in the framework of overdamped Langevin equations, for which a single-scale surrogate homogenized equation exists. In this setting, estimating the drift coeffic ...

2023

Resilience and agency in mature sustainability transitions. Theoretical conceptualisation and empirical analysis of actor- & system-level dynamics in sociotechnical energy systems

Susan Marie Mühlemeier

In Switzerland, Germany and Austria, as in many European countries, the transition of the energy sector towards more sustainability is a long-term transition process, unfolding since decades. It however only reached the regime level in recent years and the ...

EPFL2019

Learning Hawkes Processes Under Synchronization Noise

Patrick Thiran, Matthias Grossglauser, William Trouleau, Negar Kiyavash, Seyed Jalal Etesami

Multivariate Hawkes processes (MHP) are widely used in a variety of fields to model the occurrence of discrete events. Prior work on learning MHPs has only focused on inference in the presence of perfect traces without noise. We address the problem of lear ...

PMLR2019

Convergence rates of moment-sum-of-squares hierarchies for optimal control problems

Colin Neil Jones, Milan Korda

We study the convergence rate of the moment-sum-of-squares hierarchy of semidefinite programs for optimal control problems with polynomial data. It is known that this hierarchy generates polynomial under-approximations to the value function of the optimal ...

Elsevier Science Bv2017

Second-order sensitivity of parallel shear flows and optimal spanwise-periodic flow modifications

François Gallaire, Edouard Boujo, Andrea Fani

The question of optimal spanwise-periodic modification for the stabilisation of spanwise-invariant flows is addressed. A second-order sensitivity analysis is conducted for the linear temporal stability of parallel flows U-0 subject to small-amplitude spanw ...

Cambridge University Press2015

Error Analysis of the Dynamically Orthogonal Approximation of Time Dependent Random PDEs

Fabio Nobile, Eleonora Musharbash

In this work we discuss the dynamically orthogonal (DO) approximation of time dependent partial differential equations with random data. The approximate solution is expanded at each time instant on a time dependent orthonormal basis in the physical domain ...

2015

Semi-implicit BDF time discretization of the Navier–Stokes equations with VMS-LES modeling in a High Performance Computing framework

Luca Dede', Davide Forti

In this paper, we propose a semi-implicit approach for the time discretization of the Navier–Stokes equations with Variational Multiscale-Large Eddy Simulation turbulence modeling (VMS-LES). For the spatial approximation of the problem, we use the Finite E ...

Elsevier2015

A Multi-domain Spectral Method for Time-fractional Differential Equations

Jan Sickmann Hesthaven

This paper proposes an approach for high-order time integration within a multi-domain setting for time- fractional differential equations. Since the kernel is singular or nearly singular, two main difficulties arise after the domain decomposition: how to p ...

Elsevier2015

Stabilized Numerical Methods for Stochastic Differential Equations driven by Diffusion and Jump-Diffusion Processes

Adrian Blumenthal

Stochastic models that account for sudden, unforeseeable events play a crucial role in many different fields such as finance, economics, biology, chemistry, physics and so on. That kind of stochastic problems can be modeled by stochastic differential equat ...

EPFL2015

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