Publication

Convergence of random walks with Markovian cookie stacks to Brownian motion perturbed at extrema

Publications associées (24)

Leader-Based versus Soft Control of Multi-Agent Swarms

We focus on the control of heterogeneous swarms of agents that evolve in a random environment. Control is achieved by introducing special agents: leader and infiltrated (shill) agents. A refined distinction is made between hidden and apparent controlling a ...

Springer2015

A continuation multilevel Monte Carlo algorithm

Fabio Nobile, Erik Gustaf Bogislaw Von Schwerin

We propose a novel Continuation Multi Level Monte Carlo (CMLMC) algorithm for weak approximation of stochastic models. The CMLMC algorithm solves the given approximation problem for a sequence of decreasing tolerances, ending when the required error tolera ...

2015

Convergence of quasi-optimal Stochastic Galerkin methods for a class of PDES with random coefficients

Fabio Nobile, Lorenzo Tamellini

In this work we consider quasi-optimal versions of the Stochastic Galerkin method for solving linear elliptic PDEs with stochastic coefficients. In particular, we consider the case of a finite number

N

of random inputs and an analytic dependence of the s ...

2014

Quantitative Version Of The Kipnis-Varadhan Theorem And Monte Carlo Approximation Of Homogenized Coefficients

Jean-Christophe Mourrat

This article is devoted to the analysis of a Monte Carlo method to approximate effective coefficients in stochastic homogenization of discrete elliptic equations. We consider the case of independent and identically distributed coefficients, and adopt the p ...

Inst Mathematical Statistics2013