Multilevel double loop Monte Carlo and stochastic collocation methods with importance sampling for Bayesian optimal experimental design 2019

• Electrical impedance tomography
• Expected information gain
• Importance sampling
• multilevel
• Stochastic collocation

Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks    2019

• Multilevel Monte Carlo
• Continuous time Markov chains
• Stochastic reaction networks
• Stochastic biological systems
• Importance sampling

Spatial Poisson processes for fatigue crack initiation

• Fatigue crack initiation,
• Linear elasticity
• Notched metallic specimens,
• Spatial Poisson processes
• Fatigue-limit models
• Maximum likelihood methods

Reactive n-species Cahn–Hilliard system: A thermodynamically-consistent model for reversible chemical reactions

• Multicomponent Cahn–Hilliard
• Chemical reactions
• Spinodal decomposition
• Isogeometric analysis

Eficient Monte Carlo Simulation of the Left Tail of Positive Gaussian Quadratic Forms

• Importance sampling
• left tail
• positive quadratic forms
• Gaussian random vector
• bounded relative error

Multilevel Monte Carlo in approximate Bayesian computation

• Approximate Bayesian computation
• Multilevel Monte Carlo
• sequential Monte Carlo

Implied stopping rules for American basket options from Markovian projection

• Basket option
• Optimal stopping
• Black–Scholes
• Error bounds
• Monte Carlo
• Markovian projection
• Hamilton–Jabcobi–Bellman

IGA-based multi-index stochastic collocation for random PDEs on arbitrary domains

• Isogeometric analysis
• Uncertainty Quantification
• Multilevel methods
• Sparse grids
• Stochastic collocation methods
• Combination-technique

Classical Langevin Dynamics Derived from Quantum Mechanics

• Stochastic methods
• Quantum dynamics and nonequilibrium statistical mechanics
• Stochastic differential and integral equations
• Stochastic ordinary differential equations

Multilevel Monte Carlo Acceleration of Seismic Wave Propagation under Uncertainty

• Multilevel Monte Carlo
• Propagation of Uncertainty
• Seismic Wave Propagation
• Partial Differential Equations with random data

A stochastic gradient approach for the reliability maximization of passively controlled structures

• Robust design
• Reliability maximization,
• Stochastic gradient descent
• Friction tuned mass dampers
• Passive control