6 papers
Optimal Stochastic Krylov based Techniques for Large- Scale Log-Determinant Estimation
Verlon Roel Mbingui, Antoine Tambue, Issa Karambal
Estimating the logarithm of the determinant of large sparse positive definite symmetric matrices is an important task in numerical linear algebra, machine learning, Gaussian proces…
Pathwise convergence of a linearization scheme for stochastic differential-algebraic equations under the local Lipschitz coefficients
Guy Tsafack, Antoine Tambue
The paper deals with the numerical treatment of index-1 stochastic differential-algebraic equations (SDAEs) with nonlinear coefficients that satisfy the local Lipschitz and the Kha…
Novel technique based on Léja Points Approximation for Log-determinant Estimation of Large matrices
Verlon Roel Mbingui, Antoine Tambue, Issa Karambal
The computation of the Log-determinant of large, sparse, symmetric positive definite (SPD) matrices is essential in many scientific computational fields such as numerical linear al…
Strong convergence of a semi tamed scheme for stochastic differential algebraic equation under non-global Lipschitz coefficients
Guy Tsafack, Antoine Tambue
We are investigating the first strong convergence analysis of a numerical method for stochastic differential algebraic equations (SDAEs) under a non-global Lipschitz setting. It is…
Pathwise convergence of a novel numerical scheme based on semi-implicit method for stochastic differential-algebraic equations with non-global Lipschitz coefficients
Guy Tsafack, Antoine Tambue
This paper delves into the well-posedness and the numerical approximation of non-autonomous stochastic differential algebraic equations (SDAEs) with nonlinear local Lipschitz coeff…
Strong convergence of some Magnus-type schemes for the finite element discretization of non-autonomous parabolic SPDEs driven by additive fractional Brownian motion and Poisson random measure
Aurelien Junior Noupelah, Jean Daniel Mukam, Antoine Tambue
The aim of this work is to provide the strong convergence results of numerical approximations of a general second order non-autonomous semilinear stochastic partial differential eq…