3 papers
math.NA2022
Fluctuations of Rare Event Simulation with Monte Carlo Splitting in the Small Noise Asymptotics
Frédéric Cérou, Sofiane Martel, Mathias Rousset
Diffusion processes with small noise conditioned to reach a target set are considered. The AMS algorithm is a Monte Carlo method that is used to sample such rare events by iterativ…
math.AP2019
Finite-Volume approximation of the invariant measure of a viscous stochastic scalar conservation law
Sébastien Boyaval, Sofiane Martel, Julien Reygner
We study the numerical approximation of the invariant measure of a viscous scalar conservation law, one-dimensional and periodic in the space variable, and stochastically forced wi…
math.AP2019
Viscous scalar conservation law with stochastic forcing: strong solution and invariant measure
Sofiane Martel, Julien Reygner
We are interested in viscous scalar conservation laws with a white-in-time but spatially correlated stochastic forcing. The equation is assumed to be one-dimensional and periodic i…