Probabilistic numerical methods for physical and financial problems

Probabilistic Numerical Methods for PDE-constrained Bayesian Inverse Problems

This paper develops meshless methods for probabilistically describing discretisation error in the numerical solution of partial differential equations. This construction enables the solution of Bayesian inverse problems while accounting for the impact of the discretisation of the forward problem. In particular, this drives statistical inferences to be more conservative in the presence of signif...

Bayesian Probabilistic Numerical Methods

The emergent field of probabilistic numerics has thus far lacked rigorous statistical principals. This paper establishes Bayesian probabilistic numerical methods as those which can be cast as solutions to certain Bayesian inverse problems, albeit problems that are non-standard. This allows us to establish general conditions under which Bayesian probabilistic numerical methods are well-defined, ...

Probabilistic Methods for Coordination Problems

The Finite Volume, Finite Element, and Finite Difference Methods as Numerical Methods for Physical Field Problems

II. Foundations 5 A. The Mathematical Structure of Physical Field Theories . . . 5 B. Geometric Objects and Orientation . . . . . . . . . . . . . 7 C. Physical Laws and Physical Quantities . . . . . . . . . . . . 15 D. Classification of Physical Quantities . . . . . . . . . . . . . 21 E. Topological Laws . . . . . . . . . . . . . . . . . . . . . . . 26 F. Constitutive Relations . . . . . . . . ...

Numerical Methods for Multiscale Problems

[2] J. Bourgain, Fourier Transform Restriction Phenomena for Certain Lattice Subsets and Applications to Nonlinear Evolution Equations, Geometric and Functional Analysis 3 (1993), 107–156. [3] M. Christ, J. Colliander and T. Tao, Instability of the periodic nonlinear Schrödinger equation, Preprint, 2003. [4] M. Hochbruck, A. Ostermann, Explicit exponential Runge-Kutta methods for semilinear par...