9 papers
On approximation of solutions of stochastic delay differential equations via randomized Euler scheme
Paweł Przybyłowicz, Yue Wu, Xinheng Xie
We investigate existence, uniqueness and approximation of solutions to stochastic delay differential equations (SDDEs) under Carathéodory-type drift coefficients. Moreover, we also…
The random periodic solution of a stochastic differential equation with a monotone drift and its numerical approximation
Yue Wu
In this paper we study the existence and uniqueness of the random periodic solution for a stochastic differential equation with a one-sided Lipschitz condition (also known as monot…
A randomised trapezoidal quadrature
Yue Wu
A randomised trapezoidal quadrature rule is proposed for continuous functions which enjoys less regularity than commonly required. Indeed, we consider functions in some fractional…
Application of Randomized Quadrature Formulas to the Finite Element Method for Elliptic Equations
Raphael Kruse, Nick Polydorides, Yue Wu
The implementation of the finite element method for linear elliptic equations requires to assemble the stiffness matrix and the load vector. In general, the entries of this matrix-…
A Sketched Finite Element Method for Elliptic Models
Robert Lung, Yue Wu, Dimitris Kamilis +1
We consider a sketched implementation of the finite element method for elliptic partial differential equations on high-dimensional models. Motivated by applications in real-time si…
A Multilevel Monte Carlo Estimator for Matrix Multiplication
Yue Wu, Nick Polydorides
Inspired by the latest developments in multilevel Monte Carlo (MLMC) methods and randomised sketching for linear algebra problems we propose a MLMC estimator for real-time processi…