6 citations · 11 across the 8 of their papers we have counts for
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Error bound analysis of the stochastic parareal algorithm
Kamran Pentland, Massimiliano Tamborrino, T. J. Sullivan
Stochastic parareal (SParareal) is a probabilistic variant of the popular parallel-in-time algorithm known as parareal. Similarly to parareal, it combines fine- and coarse-grained…
GParareal: A time-parallel ODE solver using Gaussian process emulation
Kamran Pentland, Massimiliano Tamborrino, T. J. Sullivan +2
Sequential numerical methods for integrating initial value problems (IVPs) can be prohibitively expensive when high numerical accuracy is required over the entire interval of integ…
Stochastic parareal: an application of probabilistic methods to time-parallelisation
Kamran Pentland, Massimiliano Tamborrino, D. Samaddar +1
Parareal is a well-studied algorithm for numerically integrating systems of time-dependent differential equations by parallelising the temporal domain. Given approximate initial va…
A splitting method for SDEs with locally Lipschitz drift: Illustration on the FitzHugh-Nagumo model
Evelyn Buckwar, Adeline Samson, Massimiliano Tamborrino +1
In this article, we construct and analyse an explicit numerical splitting method for a class of semi-linear stochastic differential equations (SDEs) with additive noise, where the…
Qualitative properties of numerical methods for the inhomogeneous geometric Brownian motion
Irene Tubikanec, Massimiliano Tamborrino, Petr Lansky +1
We provide a comparative analysis of qualitative features of different numerical methods for the inhomogeneous geometric Brownian motion (IGBM). The conditional and asymptotic mean…