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We describe and analyze the Multi-Index Monte Carlo (MIMC) and the Multi-Index Stochastic Collocation (MISC) method for computing statistics of the solution of a PDE with random data. MIMC is both a stochastic version of the combination technique introduced by Zenger, Griebel and collaborators and an extension of the Multilevel Monte Carlo (MLMC) method first described by Heinrich and Giles. Instead of using first-order differences as in MLMC, MIMC uses mixed differences to reduce the variance of the hierarchical differences dramatically. These mixed differences yield new and improved complexity results, which are natural generalizations of Giles's MLMC analysis, and which increase the domain of problem parameters for which we achieve the optimal convergence. On the same vein, MISC is a deterministic combination technique based on mixed differences of spatial approximations and quadratures over the space of random data. Provided enough mixed regularity, MISC can achieve better complexity than MIMC. Moreover, we show that, in the optimal case, the convergence rate of MISC is only dictated by the convergence of the deterministic solver applied to a one-dimensional spatial problem. We propose optimization procedures to select the most effective mixed differences to include in MIMC and MISC. Such optimization is a crucial step that allows us to make MIMC and MISC computationally efficient. We show the effectiveness of MIMC and MISC in some computational tests using the mimclib open source library, including PDEs with random coefficients and Stochastic Interacting Particle Systems. Finally, we will briefly discuss the use of Markovian projection for the approximation of prices in the context of American basket options.
We describe and analyze the Multi-Index Monte Carlo (MIMC) and the Multi-Index Stochastic Collocation (MISC) method for computing statistics of the solution of a PDE with random data. MIMC is both a stochastic version of the combination technique introduced by Zenger, Griebel and collaborators and an extension of the Multilevel Monte Carlo (MLMC) method first described by Heinrich and Giles. Instead of using first-order differences as in MLMC, ...

65C30 ; 65C05 ; 60H15 ; 60H35 ; 35R60 ; 65M70

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We develop a numerical method for the Levy-Fokker-Planck equation with the fractional diffusive scaling. There are two main challenges. One comes from a two-fold non locality, that is, the need to apply the fractional Laplacian operator to a power law decay distribution. The other comes from long-time/small mean-free-path scaling, which calls for a uniform stable solver. To resolve the first difficulty, we use a change of variable to convert the unbounded domain into a bounded one and then apply Chebyshev polynomial based pseudo-spectral method. To resolve the second issue, we propose an asymptotic preserving scheme based on a novel micro-macro decomposition that uses the structure of the test function in proving the fractional diffusion limit analytically.
We develop a numerical method for the Levy-Fokker-Planck equation with the fractional diffusive scaling. There are two main challenges. One comes from a two-fold non locality, that is, the need to apply the fractional Laplacian operator to a power law decay distribution. The other comes from long-time/small mean-free-path scaling, which calls for a uniform stable solver. To resolve the first difficulty, we use a change of variable to convert the ...

82C40 ; 45K05 ; 65M70 ; 82C80

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Numerical approximation of the Boltzmann equation is a challenging problem due to its high-dimensional, nonlocal, and nonlinear collision integral. Over the past decade, the Fourier-Galerkin spectral method has become a popular deterministic method for solving the Boltzmann equation, manifested by its high accuracy and potential of being further accelerated by the fast Fourier transform. Albeit its practical success, the stability of the method is only recently proved by Filbet, F. & Mouhot, C. in [Trans.Amer.Math.Soc. 363, no. 4 (2011): 1947-1980.] by utilizing the”spreading” property of the collision operator. In this work, we provide anew proof based on a careful L2 estimate of the negative part of the solution. We also discuss the applicability of the result to various initial data, including both continuous and discontinuous functions. This is joint work with Kunlun Qi and Tong Yang.
Numerical approximation of the Boltzmann equation is a challenging problem due to its high-dimensional, nonlocal, and nonlinear collision integral. Over the past decade, the Fourier-Galerkin spectral method has become a popular deterministic method for solving the Boltzmann equation, manifested by its high accuracy and potential of being further accelerated by the fast Fourier transform. Albeit its practical success, the stability of the method ...

35Q20 ; 65M12 ; 65M70 ; 45G10

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