A multigrid-like algorithm for probabilistic domain decomposition
暂无分享,去创建一个
[1] Paul Glasserman,et al. Monte Carlo Methods in Financial Engineering , 2003 .
[2] M. Freidlin. Functional Integration And Partial Differential Equations , 1985 .
[3] Juan A. Acebrón,et al. Highly efficient numerical algorithm based on random trees for accelerating parallel Vlasov-Poisson simulations , 2013, J. Comput. Phys..
[4] Gregory E. Fasshauer,et al. Meshfree Approximation Methods with Matlab , 2007, Interdisciplinary Mathematical Sciences.
[5] Francisco Bernal,et al. Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions , 2017, SIAM/ASA J. Uncertain. Quantification.
[6] Fabio Nobile,et al. Optimization of mesh hierarchies in multilevel Monte Carlo samplers , 2014, Stochastics and Partial Differential Equations Analysis and Computations.
[7] Emmanuel Gobet,et al. Stopped diffusion processes: Overshoots and Boundary correction , 2007 .
[8] M. V. Tretyakov,et al. Stochastic Numerics for Mathematical Physics , 2004, Scientific Computation.
[9] Francisco Bernal,et al. A Comparison of Higher-Order Weak Numerical Schemes for Stopped Stochastic Differential Equations , 2015, 1511.07195.
[10] Barry F. Smith,et al. Domain Decomposition: Parallel Multilevel Methods for Elliptic Partial Differential Equations , 1996 .
[11] Piero Lanucara,et al. Domain Decomposition Solution of Elliptic Boundary-Value Problems via Monte Carlo and Quasi-Monte Carlo Methods , 2005, SIAM J. Sci. Comput..
[12] E. Gobet,et al. Stopped diffusion processes: Boundary corrections and overshoot , 2007, 0706.4042.
[13] F. John. Partial differential equations , 1967 .
[14] Marco A. Ribeiro,et al. A Monte Carlo method for solving the one-dimensional telegraph equations with boundary conditions , 2016, J. Comput. Phys..
[15] P. Bassanini,et al. Elliptic Partial Differential Equations of Second Order , 1997 .
[16] Francisco Bernal,et al. A Stochastic Algorithm Based on Fast Marching for Automatic Capacitance Extraction in Non-Manhattan Geometries , 2014, SIAM J. Imaging Sci..
[17] T. Faniran. Numerical Solution of Stochastic Differential Equations , 2015 .
[18] G. M.,et al. Partial Differential Equations I , 2023, Applied Mathematical Sciences.
[19] Francisco Bernal,et al. An Efficient Algorithm for Accelerating Monte Carlo Approximations of the Solution to Boundary Value Problems , 2015, Journal of Scientific Computing.
[20] Juan A. Acebrón,et al. Domain decomposition solution of nonlinear two-dimensional parabolic problems by random trees , 2009, J. Comput. Phys..