113 citations · 1k across the 84 of their papers we have counts for
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Construction of a Mean Square Error Adaptive Euler--Maruyama Method with Applications in Multilevel Monte Carlo
Håkon Hoel, Juho Häppölä, Raúl Tempone
A formal mean square error expansion (MSE) is derived for Euler--Maruyama numerical solutions of stochastic differential equations (SDE). The error expansion is used to construct a…
An Improved Hazard Rate Twisting Approach for the Statistic of the Sum of Subexponential Variates (Extended Version)
Nadhir Ben Rached, Abla Kammoun, Mohamed-Slim Alouini +1
In this letter, we present an improved hazard rate twisting technique for the estimation of the probability that a sum of independent but not necessarily identically distributed su…
Deterministic Mean-field Ensemble Kalman Filtering
Kody J. H. Law, Hamidou Tembine, Raul Tempone
The proof of convergence of the standard ensemble Kalman filter (EnKF) from Legland etal. (2011) is extended to non-Gaussian state space models. A density-based deterministic appro…
An a posteriori error estimate for Symplectic Euler approximation of optimal control problems
Jesper Karlsson, Stig Larsson, Mattias Sandberg +2
This work focuses on numerical solutions of optimal control problems. A time discretization error representation is derived for the approximation of the associated value function.…
A multilevel adaptive reaction-splitting simulation method for stochastic reaction networks
Alvaro Moraes, Raul Tempone, Pedro Vilanova
Stochastic modeling of reaction networks is a framework used to describe the time evolution of many natural and artificial systems, including, biochemical reactive systems at the m…
A Fast Simulation Method for the Sum of Subexponential Distributions
Nadhir Ben Rached, Fatma Benkhelifa, Abla Kammoun +2
Estimating the probability that a sum of random variables (RVs) exceeds a given threshold is a well-known challenging problem. Closed-form expression of the sum distribution is usu…