Publications related to Fast Adaptive Uniformization for the Chemical Master Equation

Multi-index Monte Carlo: when sparsity meets sampling

We propose and analyze a novel Multi Index Monte Carlo (MIMC) method for weak approximation of stochastic models that are described in terms of differential equations either driven by random measures or with random coefficients. The MIMC method is both a s ...

2016

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

Approximating Functions On Stratified Sets

We investigate smooth approximations of functions, with prescribed gradient behavior on a distinguished stratified subset of the domain. As an application, we outline how our results yield important consequences for a recently introduced class of stochasti ...

Amer Mathematical Soc2015

On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks

Fabio Nobile

In the framework of stochastic processes, the connection between the dynamic programming scheme given by the Hamilton-Jacobi-Bellman equation and a recently proposed control approach based on the Fokker-Planck equation is discussed. Under appropriate assum ...

2014

Moment equations for the mixed formulation of the Hodge Laplacian with stochastic loading term

Fabio Nobile, Annalisa Buffa, Francesca Bonizzoni

We study the mixed formulation of the stochastic Hodge-Laplace problem dened on a

n

-dimensional domain

D (n ≥ 1)

, with random forcing term. In particular, we focus on the magnetostatic problem and on the Darcy problem in the three dimensional case. We ...

2014

Thumbnail galleries for procedural models

Mark Pauly, Pablo Federico Mueller, Boris Neubert, Stefan Lienhard

Procedural modeling allows for the generation of innumerable variations of models from a parameterized, conditional or stochastic rule set. Due to the abstractness, complexity and stochastic nature of rule sets, it is often very difficult to have an unders ...

Wiley-Blackwell2014

Human needs as a driver for lighting design

Marilyne Andersen

Thanks to fundamental discoveries from neuroscience, biology and others, we have achieved a deeper understanding of how we interact with our environment. It is time to bring this knowledge back to architecture: we have access to the essential ingredients o ...

2013

Markov chains with discontinuous drifts have differential inclusion limits

Nicolas Gabriel Gast

In this paper, we study deterministic limits of Markov processes having discontinuous drifts. While most results assume that the limiting dynamics is continuous, we show that these conditions are not necessary to prove convergence to a deterministic system ...

Elsevier2012

MATHICSE Technical Report : Moment equations for the mixed formulation of the Hodge Laplacian with stochastic data

Fabio Nobile, Annalisa Buffa, Francesca Bonizzoni

We study the mixed formulation of the stochastic Hodge-Laplace problem defined on a n-dimensional domain D (

n \geq 1

), with random forcing term. In particular, we focus on the magnetostatic problem and on the Darcy problem in the three dimensional case. ...

MATHICSE2012

Stochastic Control and Free Boundary Problems for Sailboat Trajectory Optimization

Laura Vinckenbosch

The topic of this thesis is the study of several stochastic control problems motivated by sailing races. The goal is to minimize the travel time between two locations, by selecting the fastest route in face of randomly changing weather conditions, such as ...

EPFL2012

Fast Adaptive Uniformization for the Chemical Master Equation

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Multi-index Monte Carlo: when sparsity meets sampling

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

Approximating Functions On Stratified Sets

On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks

Moment equations for the mixed formulation of the Hodge Laplacian with stochastic loading term

Thumbnail galleries for procedural models

Human needs as a driver for lighting design

Markov chains with discontinuous drifts have differential inclusion limits

MATHICSE Technical Report : Moment equations for the mixed formulation of the Hodge Laplacian with stochastic data

Stochastic Control and Free Boundary Problems for Sailboat Trajectory Optimization

Multi-index Monte Carlo: when sparsity meets sampling

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

Markov chains with discontinuous drifts have differential inclusion limits

Approximating Functions On Stratified Sets

Moment equations for the mixed formulation of the Hodge Laplacian with stochastic loading term

On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks

Thumbnail galleries for procedural models

Human needs as a driver for lighting design

Stochastic Control and Free Boundary Problems for Sailboat Trajectory Optimization

MATHICSE Technical Report : Moment equations for the mixed formulation of the Hodge Laplacian with stochastic data