High order numerical approximation of the invariant measure of ergodic SDEs
Graph Chatbot
Chat with Graph Search
Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.
DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.
Within a deterministic framework, it is well known that n-term wavelet approximation rates of functions can be deduced from their Besov regularity. We use this principle to determine approximation rates for symmetric-α-stable (SαS) stochastic processes. Fi ...
In focusing Kerr media, small- scale filamentation is the major obstacle to imaging at high light intensities. In this article, we experimentally and numerically demonstrate a method based on statistical averaging to reduce the detrimental effects of filam ...
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 ...
In this paper, a parareal method is proposed for the parallel-in-time integration of time-fractional differential equations (TFDEs). It is a generalization of the original parareal method, proposed for classic differential equations. To match the global fe ...
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 ...
A new characterization of sufficient conditions for the Lie-Trotter splitting to cap- ture the numerical invariant measure of nonlinear ergodic Langevin dynamics up to an arbitrary order is discussed. Our characterization relies on backward error analysis ...
A fully discrete analysis of the finite element heterogeneous multiscale method (FE-HMM) for elliptic problems with N+1 well-separated scales is discussed. The FE-HMM is a numerical homogenization method that relies on a macroscopic scheme (macro FEM) for ...
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 ...
The parareal algorithm seeks to extract parallelism in the time-integration direction of time-dependent differential equations. While it has been applied with success to a wide range of problems, it suffers from some stability issues when applied to non-di ...
We consider finite horizon reach-avoid problems for discrete time stochastic systems. Our goal is to construct upper bound functions for the reach-avoid probability by means of tractable convex optimization problems. We achieve this by restricting attentio ...
