Results 31 to 40 of about 720 (191)

Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II

Risks, 2019
This paper explores the stochastic collocation technique, applied on a monotonic spline, as an arbitrage-free and model-free interpolation of implied volatilities. We explore various spline formulations, including B-spline representations. We explain how
Fabien Le Floc’h, Cornelis W. Oosterlee   +1 more
doaj   +1 more source

Existence, uniqueness, and collocation solutions using the shifted Legendre spectral method for the Hilfer fractional stochastic integro-differential equations regarding stochastic Brownian motion

Results in Applied Mathematics
In this paper, the existence and uniqueness of a specific class of fractional stochastic integro-differential equations considering the stochastic Brownian motion equipped with an appropriate form of a random initial condition is introduced regarding the
Haneen Badawi, Omar Abu Arqub, Nabil Shawagfeh   +2 more
doaj   +1 more source

A Study of The Stochastic Burgers’ Equation Using The Dynamical Orthogonal Method

Axioms, 2023
In the current work, the stochastic Burgers’ equation is studied using the Dynamically Orthogonal (DO) method. The DO presents a low-dimensional representation for the stochastic fields. Unlike many other methods, it has a time-dependent property on both
Mohamed El-Beltagy, Ragab Mahdi, Adeeb Noor   +2 more
doaj   +1 more source

Radiation Transport in Random Media With Large Fluctuations

EPJ Web of Conferences, 2017
Neutral particle transport in media exhibiting large and complex material property spatial variation is modeled by representing cross sections as lognormal random functions of space and generated through a nonlinear memory-less transformation of a ...
Olson Aaron, Prinja Anil, Franke Brian
doaj   +1 more source

Risk assessment of groundwater contamination based on stochastic collocation method

Shui kexue jinzhan, 2012
Groundwater contamination event is hardly observed,and its circumstance has various uncertainties.Risk assessment provides a quantitative approach to evaluate the potential hazard of the contamination.This study develops a new method for risk assessment ...
SHI Liang-sheng, TANG Yun-qing, YANG Jin-zhong   +2 more
doaj   +1 more source

Greedy nonlinear autoregression for multifidelity computer models at different scales

Energy and AI, 2020
Although the popular multi-fidelity surrogate models, stochastic collocation and nonlinear autoregression have been applied successfully to multiple benchmark problems in different areas of science and engineering, they have certain limitations.
W. Xing, M. Razi, R.M. Kirby, K. Sun, A.A. Shah   +4 more
doaj   +1 more source

Subcell resolution in simplex stochastic collocation for spatial discontinuities [PDF]

Journal of Computational Physics, 2013
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
J.A.S. Witteveen (Jeroen), G. Iaccarino (Gianluca)   +1 more
openaire   +1 more source

Topology‐Enriched Toughness Enhancement in Quasi‐Periodic Metastructures Featuring Tailorable Strong‐Weak Network

Advanced Science, EarlyView.
A quasi‐periodic Dart‐Kite (QDK) metastructure with a golden‐ratio‐constrained strong–weak bond network simultaneously enhances strength, toughness, and damage tolerance. Its distributed topology enables predictable, tailorable crack paths for precise fracture control and stable mechanics, demonstrating a high‐performance, controllable architecture ...
Tianyu Gao, Genda Wang, Jiabao Bai, Kai Liu   +3 more
wiley   +1 more source

Density estimation for time-dependent PDE with random input by a Legendre-based multi-element probabilistic collocation method

AIP Advances
This paper proposed a Legendre-based multi-element probabilistic collocation method for time-dependent stochastic differential equations, used for density estimation of unknown functions.
Hongling Xie
doaj   +1 more source

A Hybrid Fractional Chebyshev–Legendre Spectral Collocation Method for Hamilton–Jacobi–Bellman Equations

IEEE Access
Stochastic optimal control problems are commonly formulated as optimization problems constrained by stochastic dynamical systems, whose value functions satisfy Hamilton–Jacobi–Bellman (HJB) equations.
Alvian Alif Hidayatullah, Subchan Subchan, Sena Safarina, Tahiyatul Asfihani, R. Mohamad Atok, Irma Fitria, Andriyansah, Kasno Pamungkas   +7 more
doaj   +1 more source