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math.NA2024★ 1 cited
Modelling pathwise uncertainty of Stochastic Differential Equations samplers via Probabilistic Numerics
Yvann Le Fay, Simo Särkkä, Adrien Corenflos
Probabilistic ordinary differential equation (ODE) solvers have been introduced over the past decade as uncertainty-aware numerical integrators. They typically proceed by assuming…
math.NA2023★ 2 cited
Parallel-in-Time Probabilistic Numerical ODE Solvers
Nathanael Bosch, Adrien Corenflos, Fatemeh Yaghoobi +3
Probabilistic numerical solvers for ordinary differential equations (ODEs) treat the numerical simulation of dynamical systems as problems of Bayesian state estimation. Aside from…