3 papers
math.NA2024
Dynamical Low-Rank Approximation for Stochastic Differential Equations
Yoshihito Kazashi, Fabio Nobile, Fabio Zoccolan
In this paper, we set the mathematical foundations of the Dynamical Low-Rank Approximation (DLRA) method for stochastic differential equations (SDEs). DLRA aims at approximating th…
math.ST2024
Unbiased likelihood estimation of Wright-Fisher diffusion processes
Celia GarcÃa-Pareja, Fabio Nobile
In this paper we propose a Monte Carlo maximum likelihood estimation strategy for discretely observed Wright-Fisher diffusions. Our approach provides an unbiased estimator of the l…
math.OC2024
A multigrid solver for PDE-constrained optimization with uncertain inputs
Gabriele Ciaramella, Fabio Nobile, Tommaso Vanzan
In this manuscript, we present a collective multigrid algorithm to solve efficiently the large saddle-point systems of equations that typically arise in PDE-constrained optimizatio…