113 citations · 1k across the 84 of their papers we have counts for
5 papers · 1 filter
Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation
Abdul-Lateef Haji-Ali, Raul Tempone
We address the approximation of functionals depending on a system of particles, described by stochastic differential equations (SDEs), in the mean-field limit when the number of pa…
Sparse approximation of multilinear problems with applications to kernel-based methods in UQ
Fabio Nobile, Raul Tempone, Soeren Wolfers
We provide a framework for the sparse approximation of multilinear problems and show that several problems in uncertainty quantification fit within this framework. In these problem…
Multilevel ensemble Kalman filtering for spatially extended models
Alexey Chernov, Haakon Hoel, Kody Law +2
This work embeds a multilevel Monte Carlo (MLMC) sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF), thereby yielding a multilevel ensemble Kalman fil…
Bayesian inferences of the thermal properties of a wall using temperature and heat flux measurements
Marco Iglesias, Zaid Sawlan, Marco Scavino +2
The assessment of the thermal properties of walls is essential for accurate building energy simulations that are needed to make effective energy-saving policies. These properties a…
Smoothing the payoff for efficient computation of Basket option prices
Christian Bayer, Markus Siebenmorgen, Raul Tempone
We consider the problem of pricing basket options in a multivariate Black Scholes or Variance Gamma model. From a numerical point of view, pricing such options corresponds to moder…