4 citations · 7 across the 5 of their papers we have counts for
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math.NA2017
Multilevel estimation of expected exit times and other functionals of stopped diffusions
Michael B. Giles, Francisco Bernal
This paper proposes and analyses a new multilevel Monte Carlo method for the estimation of mean exit times for multi-dimensional Brownian diffusions, and associated functionals whi…
math.NA2017
Hybrid PDE solver for data-driven problems and modern branching
Francisco Bernal, Gonçalo dos Reis, Greig Smith
The numerical solution of large-scale PDEs, such as those occurring in data-driven applications, unavoidably require powerful parallel computers and tailored parallel algorithms to…
math.NA2017
Solving delay differential equations through RBF collocation
Francisco Bernal, Gail Gutiérrez
A general and easy-to-code numerical method based on radial basis functions (RBFs) collocation is proposed for the solution of delay differential equations (DDEs). It relies on the…