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Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation br 期刊论文
APPLIED MATHEMATICS AND COMPUTATION, 2023, 卷号: 436, 页码: 17
Authors:  Flandoli, Franco;  Luo, Dejun;  Ricci, Cristiano
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High dimensional Kolmogorov equation  Numerical solution  Iteration scheme  Gaussian process  
Optimal Holder continuity and hitting probabilities for SPDEs with rough fractional noises 期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2022, 卷号: 512, 期号: 1, 页码: 21
Authors:  Hong, Jialin;  Liu, Zhihui;  Sheng, Derui
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Stochastic partial differential equation  Fractional Brownian sheet  Hurst index H < 1/2  Holder exponent  Hitting probability  
A spectral method for stochastic fractional PDEs using dynamically-orthogonal/bi-orthogonal decomposition 期刊论文
JOURNAL OF COMPUTATIONAL PHYSICS, 2022, 卷号: 461, 页码: 17
Authors:  Zhao, Yue;  Mao, Zhiping;  Guo, Ling;  Tang, Yifa;  Karniadakis, George Em
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Uncertainty quantification  Anomalous transport  Quasi Monte Carlo simulation  Generalized polynomial chaos  Long-time integration  Poly-fractonomials  

Normalizing field flows: Solving forward and inverse stochastic differential equations using physics-informed flow models

 期刊论文
JOURNAL OF COMPUTATIONAL PHYSICS, 2022, 卷号: 461, 页码: 18
Authors:  Guo, Ling;  Wu, Hao;  Zhou, Tao
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Data -driven modeling  Normalizing flows  Uncertainty quantification  Random fields  
Averaging principle and normal deviations for multi-scale stochastic hyperbolic-parabolic equations 期刊论文
STOCHASTICS AND PARTIAL DIFFERENTIAL EQUATIONS-ANALYSIS AND COMPUTATIONS, 2022, 页码: 39
Authors:  Roeckner, Michael;  Xie, Longjie;  Yang, Li
Favorite  |  View/Download：74/0  |  Submit date：2022/04/29
Stochastic hyperbolic-parabolic equations  Averaging principle  Strong and weak convergence  Homogenization  
STOCHASTIC CONVERGENCE OF REGULARIZED SOLUTIONS AND THEIR FINITE ELEMENT APPROXIMATIONS TO INVERSE SOURCE PROBLEMS 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2022, 卷号: 60, 期号: 2, 页码: 751-780
Authors:  CHEN, Z. H. I. M. I. N. G.;  ZHANG, W. E. N. L. O. N. G.;  ZOU, J. U. N.
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inverse source problems  regularization  finite element approximation  stochastic error estimates  
A note on log-log blow up solutions for stochastic nonlinear Schrodinger equations 期刊论文
STOCHASTICS AND PARTIAL DIFFERENTIAL EQUATIONS-ANALYSIS AND COMPUTATIONS, 2021, 页码: 15
Authors:  Fan, Chenjie;  Su, Yiming;  Zhang, Deng
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Log-log blow up  NLS  Multiplicative noise  
Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients 期刊论文
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2021, 卷号: 134, 页码: 55-93
Authors:  Cui, Jianbo;  Hong, Jialin;  Sun, Liying
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Weak convergence  Invariant measure  Kolmogorov equation  Malliavin calculus  
A numerical approach to Kolmogorov equation in high dimension based on Gaussian analysis 期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2021, 卷号: 493, 期号: 1, 页码: 29
Authors:  Flandoli, Franco;  Luo, Dejun;  Ricci, Cristiano
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Kolmogorov equation  Numerical solution  Iteration schema  Gaussian process  
Uniqueness for nonlinear Fokker-Planck equations and weak uniqueness for McKean-Vlasov SDEs 期刊论文
STOCHASTICS AND PARTIAL DIFFERENTIAL EQUATIONS-ANALYSIS AND COMPUTATIONS, 2020, 页码: 12
Authors:  Barbu, Viorel;  Roeckner, Michael
Favorite  |  View/Download：88/0  |  Submit date：2021/01/14
Fokker-Planck equation  Mild solution  Distributional solution