2015 Overview A. Iania, Basket option pricing for processes with jumps using sparse grids and Fourier transforms, Master Thesis, Politecnico di Torino - KAUST, 2015. Keywords: Basket option pricing for processes with jumps using sparse grids and Fourier transforms. Read more | Download Document Thesis N. Ben Rached, A. Kammoun, M. Alouini, R. Tempone, Unified Importance Sampling Schemes for Efficient Simulation of Outage Capacity over Generalized Fading Channels, Accepted for publication in IEEE Journal of Selected Topics in Signal Processing, 2015. Keywords: Outage capacity, naive Monte Carlo, hazard rate twisting, Importance Sampling, asymptotic optimality, bounded relative error. Read more Refereed Journals Eric Joseph Hall, Hakon Hoel, Mattias Sandberg, Anders Szepessy, Raul Tempone, Computable error estimates for finite element approximations of elliptic partial differential equations with rough stochastic data, Submitted arXiv Oct. 2015. Keywords: Computable error estimates for finite element approximations of elliptic partial differential equations with rough stochastic data. Read more Manuscripts Soumaya Elkantassi, Fourier Transform Methods for Option Pricing, Graduation Project Report, Hosting Institution: KAUST, June 2015. Keywords: Fourier Transform Methods for Option Pricing Read more Thesis G. Migliorati, F. Nobile, R. Tempone, Convergence estimates in probability and in expectation for discrete least squares with noisy evaluations in random points, Journal of Multivariate Analysis, Vol. 142, Pages 167–182. December 2015. Keywords: approximation theory, discrete least squares, noisy evaluations, error analysis, convergence rates, large deviations, learning theory, multivariate polynomial approximation Read more | Download Document Refereed Journals Fabrizio Bisetti, Daesang Kim, Omar Knio, Quan Long, and Raul Tempone. Optimal Bayesian Experimental Design for Priors of Compact Support with Application to Shock-Tube Experiments for Combustion Kinetics. Accepted by International Journal for Numerical Methods in Engineering. Keywords: Bayesian optimal experimental design; Laplace approximation; Truncated Gaussian approximation; Polynomial surrogates; Shock–tube; Combustion kinetics Read more Refereed Journals Nadhir Ben Rached, Abla Kammoun, Mohamed-Slim Alouini, and Raul Tempone, An Efficient Simulation Scheme of the Outage Probability with Co-Channel Interference, will be published in the Proceedings of IEEE GLOBECOM 2015. Keywords: Outage Probability, sum of correlated Lognormal, Importance Sampling, covariance matrix scaling, computational gain, naive Monte Carlo simulations. Read more Conference Proceedings Yuxin Chen, David Keyes, Kody J.H. Law, Hatem Ltaief, Accelerated dimension-independent adaptive Metropolis, Submitted Jun 2015, arXiv:1506.05741. Keywords: Accelerated dimension-independent adaptive Metropolis Read more | Website Manuscripts N. Ben Rached, A. Kammoun, M.-S. Alouini, and R. Tempone, An Improved Hazard Rate Twisting Approach for the Statistic of the Sum of Subexponential Variates, Communications Letters, IEEE, Volume:19 Issue:1, 2015. Keywords: Hazard rate twisting, asymptotic optimality, minmax approach, subexponential, twisting parameter, variance reduction. Read more | Website | Download Document Refereed Journals Olivier Le Maitre, Omar Knio, and Alvaro Moraes, Variance Decomposition in Stochastic Simulators, The Journal of Chemical Physics, Volume 142, Issue 24, 2015. Keywords: Variance Decomposition in Stochastic Simulators. Read more | Website Refereed Journals Dishi Liu, Alexander Litvinenko, Claudia Schillings, and Volker Schulz, Quantification of airfoil geometry-induced aerodynamic uncertainties - comparison of approaches, submitted 2015. Keywords: Quantification of airfoil geometry-induced aerodynamic uncertainties - comparison of approaches Read more | Website Manuscripts Raul Verma, Matteo Icardi, Masa Prodanovic, Validation of direct pore scale modeling approaches to wettability, submitted March 2015. Keywords: Validation of direct pore scale modeling approaches to wettability Read more Manuscripts Alexandros Beskos, Ajay Jasra, Kody Law, Raul Tempone and Yan Zhou, Multilevel Sequential Monte Carlo Samplers, submitted 2015. Keywords: Multilevel Monte Carlo, Sequential Monte Carlo, Bayesian Inverse Problems Read more | Website | Download Document Manuscripts Sergey Dolgov, Boris N. Khoromskij, Alexander Litvinenko, Hermann G. Matthies, Polynomial Chaos Expansion of random coefficients and the solution of stochastic partial differential equations in the Tensor Train format, submitted to SIAM Journal on Uncertainty Quantification, Volume 3, Issue 1, p. 1109–1135, Nov. 2015. DOI:10.1137/140972536. Keywords: uncertainty quantification, polynomial chaos expansion, Karhunen-Loeve expansion, stochastic Galerkin, tensor product methods, tensor train format, adaptive cross approximation, block cross Read more | Website Refereed Journals F. Crocce, J. Happola, J. Kiessling, R. Tempone, Error analysis in Fourier methods for option pricing, Accepted for publication in the Journal of Computational Finance (JCF), Dec. 2015. Keywords: Error analysis, Option pricing, Fourier methods, Spectral methods, Levy processes, Stochastic processes, Hardy functions, Trapezoidal quadrature Read more | Website Refereed Journals B. Djehiche, H. Tembine, R. Tempone, A Stochastic Maximum Principle for Risk-Sensitive Mean-Field-Type Control, To appear in IEEE Transactions on Automatic Control, VOL. 60, NO. 10, October 2015. Keywords: Optimization and Control (math.OC); Systems and Control (cs.SY); Probability (math.PR); Risk Management (q-fin.RM) Read more | Website Refereed Journals S. Aseeri, O. Batrašev, M. Icardi, B. Leu, A. Liu, N. Li, B.K. Muite, E. Müller, B. Palen, M. Quell, H. Servat, P. Sheth, R. Speck, M. Van Moer, J. Vienne, Solving the Klein-Gordon equation using Fourier spectral methods: A benchmark test for computer performance, submitted to arXiv:1501.04552, 2015 Keywords: HPC, and Fourier Methods Read more | Website Manuscripts F. Nobile, L. Tamellini, R. Tempone, Comparison of Clenshaw–Curtis and Leja quasi-optimal sparse grids for the approximation of random PDEs, International Conference on Spectral and High-Order Methods 2014 (ICOSAHOM'14), Salt Lake City, Utah, USA, June 23-27, 2014. Spectral and High Order Methods for Partial Differential Equations. Volume 106 of the series Lecture Notes in Computational Science and Engineering, pp 475-482. Springer, 2015. Keywords: Uncertainty Quantification; PDEs with random data; linear elliptic equations; Stochastic Collocation methods; Sparse grids approximation; Leja points; Clenshaw–Curtis points Read more | Website | Download Document Book Chapters A. Haji-Ali, F. Nobile, R. Tempone, Multi-Index Monte Carlo: When Sparsity Meets Sampling, Numerische Mathematik, Vol. 132, Pages 767–806, 2016. Keywords: Multilevel Monte Carlo, Monte Carlo, Partial Differential Equations with random data, Stochastic Differential Equations, Weak Approximation, Sparse Approximation, Combination Technique. Read more | Website Refereed Journals Q. Long, M. Motamed, R. Tempone, Fast Bayesian optimal experimental design for seismic source inversion, Computer Methods in Applied Mechanics and Engineering, vol. 291, pp. 123-145, 2015. Keywords: Bayesian experimental design, Information gain, Laplace approximation, Monte Carlo sampling, Seismic source inversion, Sparse quadrature, Uncertainty quantification Read more | Website | Download Document Refereed Journals A. Haji-Ali, F. Nobile, E. von Schwerin, R. Tempone, Optimization of mesh hierarchies in Multilevel Monte Carlo samplers, Stochastic Partial Differential Equations: Analysis and Computations, Vol. 4, Issue 1, Pages 76–112, 2016. Keywords: Multilevel Monte Carlo, Monte Carlo, Partial Differential Equations with random data, Stochastic Differential Equations, Optimal discretization Read more | Website Refereed Journals M. Motamed, F. Nobile, R. Tempone, Analysis and Computation of Hyperbolic PDEs with Random Data, Encyclopedia of Applied and Computational Mathematics, pp 51-58, November 2015 Keywords: Analysis and Computation of Hyperbolic PDEs with Random Data Read more | Website Book Chapters M. Motamed, F. Nobile, R. Tempone, Analysis and computation of the elastic wave equation with random coefficients, Computers and Mathematics with Applications, Vol. 70, Issue 10, pp. 2454–2473, November 2015. Keywords: uncertainty quantification; stochastic partial differential equations; elastic wave equation; regularity; collocation method; error analysis. Read more | Download Document Refereed Journals J. Karlsson, S. Larsson, M. Sandberg, A. Szepessy, R. Tempone, An a posteriori error estimate for symplectic Euler approximation of optimal control problems, SIAM J. Sci. Comput. 37 (2015), A946-A969. . Keywords: Optimal Control, Error Estimates, Adaptivity, Error Control Read more | Website | Download Document Refereed Journals F. Nobile, L. Tamellini, R. Tempone, Convergence of quasi-optimal sparse grid approximation of Hilbert-valued functions: application to random elliptic PDEs, To appear in Numerische Mathematik, pp. 1—46, 2015. DOI 10.1007/s00211-015-0773-y. Keywords: Uncertainty Quantification, random PDEs, linear elliptic equations, multivariate polynomial approximation, best M-terms polynomial approximation, Smolyak approximation, Sparse grids, Stochastic Collocation method. Read more | Website Refereed Journals N. Collier, A. Haji-Ali, F. Nobile, E. von Schwerin, R. Tempone, A Continuation Multilevel Monte Carlo algorithm, BIT Numerical Mathematics, Volume 55, Issue 2, pp 399-432, June 2015 Keywords: SDEs, SPDEs, Multilevel Monte Carlo, Numerical Analysis Read more | Website Refereed Journals A. Chkifa, A. Cohen, G. Migliorati, F. Nobile, R. Tempone, Discrete least squares polynomial approximation with random evaluations - application to parametric and stochastic elliptic PDEs, ESAIM: Mathematical Modelling and Numerical Analysis, 49 (3):815-837, 2015. Keywords: approximation theory, polynomial approximation, least squares, parametric and stochastic PDEs, high-dimensional approximation Read more | Website Refereed Journals Q. Long, M. Scavino, R. Tempone, S. Wang. A Laplace method for under-determined Bayesian optimal experimental designs, Computer Methods in Applied Mechanics and Engineering, Volume 285, Pages 849–876, March 2015. Keywords: Bayesian statistics Read more | Website | Download Document Refereed Journals
