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SDE Based Regression for Linear Random PDEs
16 references·0 citing·35 second hop
SDE Based Regression for Linear Random PDEs (2017)SDE Based Regression for Linear Random PD…Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and Its Application to Multilevel Monte Carlo Methods (2013)Finite Element Error Analysis…Sparse tensor discretizations of high-dimensional parametric and stochastic PDEs (2011)Sparse tensor discretizations…Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications (2011)Quasi-Monte Carlo methods for…Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients (2011)Multilevel Monte Carlo method…An Anisotropic Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data (2008)An Anisotropic Sparse Grid St…A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data (2008)A Sparse Grid Stochastic Coll…A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data (2007)A Stochastic Collocation Meth…Convergence rates for sparse chaos approximations of elliptic problems with stochastic coefficients (2006)Convergence rates for sparse …Solving elliptic boundary value problems with uncertain coefficients by the finite element method: the stochastic formulation (2004)Solving elliptic boundary val…Galerkin methods for linear and nonlinear elliptic stochastic partial differential equations (2004)Galerkin methods for linear a…Galerkin Finite Element Approximations of Stochastic Elliptic Partial Differential Equations (2004)Galerkin Finite Element Appro…Finite elements for elliptic problems with stochastic coefficients (2004)Finite elements for elliptic …An analysis of a least squares regression method for American option pricing (2002)An analysis of a least square…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Regression methods for pricing complex American-style options (2001)Regression methods for pricin…Stochastic Finite Elements: A Spectral Approach (1991)Stochastic Finite Elements: A…Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)High-Order Collocation Methods for Differential Equations with Random Inputs (2005)An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations (2009)A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data (2010)A non-adapted sparse approximation of PDEs with stochastic inputs (2011)The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations (2002)An adaptive algorithm to build up sparse polynomial chaos expansions for stochastic finite element analysis (2009)Survey of Multifidelity Methods in Uncertainty Propagation, Inference, and Optimization (2018)Random vibration and statistical linearization (1990)Verification and Validation in Computational Science and Engineering (1998)Uncertainty Quantification and Polynomial Chaos Techniques in Computational Fluid Dynamics (2008)An Introduction to Computational Stochastic PDEs (2014)Response Surfaces: Designs and Analyses (1997)Multi-Element Generalized Polynomial Chaos for Arbitrary Probability Measures (2006)Data-driven uncertainty quantification using the arbitrary polynomial chaos expansion (2012)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)Numerical Methods for Stochastic Computations: A Spectral Method Approach (2010)Spectral Methods for Uncertainty Quantification (2010)Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients (2013)Stochastic finite element methods for partial differential equations with random input data (2014)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)Martingales and arbitrage in multiperiod securities markets (1979)Learning to trade via direct reinforcement (2001)Optimization under uncertainty: state-of-the-art and opportunities (2003)Pricing American Options: A Duality Approach (2004)Global sensitivity analysis using polynomial chaos expansions (2007)AK-MCS: An active learning reliability method combining Kriging and Monte Carlo Simulation (2011)Karhunen–Loève approximation of random fields by generalized fast multipole methods (2006)Comparison of Non-Intrusive Polynomial Chaos and Stochastic Collocation Methods for Uncertainty Quantification (2009)Recent Advances in Non-Intrusive Polynomial Chaos and Stochastic Collocation Methods for Uncertainty Analysis and Design (2009)DAKOTA : a multilevel parallel object-oriented framework for design optimization, parameter estimation, uncertainty quantification, and sensitivity analysis. Version 5.0, user's manual. (2010)
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References

  • 1991Stochastic Finite Elements: A Spectral Approach5,753 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2007A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data1,396 cited
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  • 2011Sparse tensor discretizations of high-dimensional parametric and stochastic PDEs260 cited
  • 2006

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Convergence rates for sparse chaos approximations of elliptic problems with stochastic coefficients
202 cited
  • 2013Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and Its Application to Multilevel Monte Carlo Methods187 cited
  • 2011Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications160 cited
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