Editorial CEMRACS 2017 – Numerical methods for stochastic models: control, uncertainty quantification, mean-field
نویسندگان
چکیده
منابع مشابه
Mean Field Games: Numerical Methods
Mean field type models describing the limiting behavior of stochastic differential game problems, as the number of players tends to +∞, have recently been introduced by J-M. Lasry and P-L. Lions. Numerical methods for the approximation of stationary and nonstationary such models are proposed. In particular, existence and uniqueness are investigated, as well as bounds on the solutions. Numerical...
متن کاملComparison of Numerical Methods in Uncertainty Quantification
Abstract: This paper presents and compares the results obtained using several methods for Stochastic Computations, used in Uncertainty Quantification. We practically present the methods using a simple ODE model. The focus is on both intrusive and non-intrusive methods, namely the Monte Carlo method, along with methods based on generalized polynomial chaos(gPC) methodology. Moreover, we asses th...
متن کاملStochastic Control of Mean Field Models with Mixed Players
We consider mean field stochastic systems consisting of a major player and a large number of minor players. We study decentralized strategies for both game and social optimization problems. For the game problem, the objective is to obtain asymptotic Nash equilibria. For the social optimization problem, the objective is to nearly minimize a weighted sum of the individual costs. A very peculiar f...
متن کاملUncertainty Quantification and Numerical Methods for Conservation Laws
Pettersson, P. 2013. Uncertainty Quantification and Numerical Methods for Conservation Laws. Acta Universitatis Upsaliensis. Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Science and Technology 1008. 39 pp. Uppsala. ISBN 978-91-554-8569-6. Conservation laws with uncertain initial and boundary conditions are approximated using a generalized polynomial chaos expansi...
متن کاملStepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
Abstract. A strategy for controlling the stepsize in the numerical integration of stochastic differential equations (SDEs) is presented. It is based on estimating the p-th mean of local errors. The strategy leads to stepsize sequences that are identical for all computed paths. For the family of Euler schemes for SDEs with small noise we derive computable estimates for the dominating term of the...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ESAIM: Proceedings and Surveys
سال: 2019
ISSN: 2267-3059
DOI: 10.1051/proc/201965000