Publications de Hakon Andreas Hoel

Multilevel ensemble Kalman filtering for spatio-temporal processes

We design and analyse the performance of a multilevel ensemble Kalman filter method (MLEnKF) for filtering settings where the underlying state-space model is an infinite-dimensional spatio-temporal process. We consider underlying models that needs to be si ...

Springer2021

Numerical methods for conservation laws with rough flux

Hakon Andreas Hoel

Finite volume methods are proposed for computing approximate pathwise entropy/kinetic solutions to conservation laws with flux functions driven by low-regularity paths. For a convex flux, it is demonstrated that driving path oscillations may lead to "cance ...

2020

Central limit theorems for multilevel Monte Carlo methods

Sebastian Krumscheid, Hakon Andreas Hoel

In this work, we show that uniform integrability is not a necessary condition for central limit theorems (CLT) to hold for normalized multilevel Monte Carlo (MLMC) estimators and we provide near optimal weaker conditions under which the CLT is achieved. In ...

2019

Path-dependent convex conservation laws

Hakon Andreas Hoel

2018

Implementation and analysis of an adaptive multilevel Monte Carlo algorithm

Erik Gustaf Bogislaw Von Schwerin, Hakon Andreas Hoel

De Gruyter, Walter de Gruyter GmbH2014

On Nonasymptotic Optimal Stopping Criteria In Monte Carlo Simulations

Erik Gustaf Bogislaw Von Schwerin, Hakon Andreas Hoel

We consider the setting of estimating the mean of a random variable by a sequential stopping rule Monte Carlo (MC) method. The performance of a typical second moment based sequential stopping rule MC method is shown to be unreliable in such settings both b ...

Siam Publications2014