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Solving Stochastic Ordinary Differential Equations by Monte Carlo and Polynomial Chaos

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The stochastic heat equation: hitting probabilities and the probability density function of the supremum via Malliavin calculus

Fei Pu

In this thesis, we study systems of linear and/or non-linear stochastic heat equations and fractional heat equations in spatial dimension

1

driven by space-time white noise. The main topic is the study of hitting probabilities for the solutions to these ...

EPFL2018

Solving Stochastic Ordinary Differential Equations by Monte Carlo and Polynomial Chaos

Graph Chatbot

Chattez avec Graph Search

Functional Tucker Approximation Using Chebyshev Interpolation

Random time step probabilistic methods for uncertainty quantification in chaotic and geometric numerical integration

MATHICSE Technical Report : Regularity and sparse approximation of the recursive first moment equations for the lognormal Darcy problem

Regularity and sparse approximation of the recursive first moment equations for the lognormal Darcy problem

Asian option pricing with orthogonal polynomials

A generalization of Kátai's orthogonality criterion with applications

On Jump-Diffusive Driving Noise Sources: Some Explicit Results and Applications

The stochastic heat equation: hitting probabilities and the probability density function of the supremum via Malliavin calculus

MATHICSE Technical Report : Random time step probabilistic methods for uncertainty quantification in chaotic and geometric numerical integration

New Algorithmic Paradigms for Discrete Problems using Dynamical Systems and Polynomials

Random time step probabilistic methods for uncertainty quantification in chaotic and geometric numerical integration

MATHICSE Technical Report : Random time step probabilistic methods for uncertainty quantification in chaotic and geometric numerical integration

Functional Tucker Approximation Using Chebyshev Interpolation

MATHICSE Technical Report : Regularity and sparse approximation of the recursive first moment equations for the lognormal Darcy problem

Asian option pricing with orthogonal polynomials

The stochastic heat equation: hitting probabilities and the probability density function of the supremum via Malliavin calculus

Regularity and sparse approximation of the recursive first moment equations for the lognormal Darcy problem

A generalization of Kátai's orthogonality criterion with applications

On Jump-Diffusive Driving Noise Sources: Some Explicit Results and Applications

New Algorithmic Paradigms for Discrete Problems using Dynamical Systems and Polynomials