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  1. No Access

    Article

    Convergence of quasi-optimal sparse-grid approximation of Hilbert-space-valued functions: application to random elliptic PDEs

    In this work we provide a convergence analysis for the quasi-optimal version of the sparse-grids stochastic collocation method we presented in a previous work: “On the optimal polynomial approximation of stoch...

    F. Nobile, L. Tamellini, R. Tempone in Numerische Mathematik (2016)

  2. No Access

    Article

    Monte Carlo Euler approximations of HJM term structure financial models

    We present Monte Carlo-Euler methods for a weak approximation problem related to the Heath-Jarrow-Morton (HJM) term structure model, based on Itô stochastic differential equations in infinite dimensional space...

    T. Björk, A. Szepessy, R. Tempone, G. E. Zouraris in BIT Numerical Mathematics (2013)

  3. No Access

    Article

    Convergence Rates for an Adaptive Dual Weighted Residual Finite Element Algorithm

    Basic convergence rates are established for an adaptive algorithm based on the dual weighted residual error representation, $$\mbox{er...

    K.-S. Moon, E. von Schwerin, A. Szepessy, R. Tempone in BIT Numerical Mathematics (2006)

  4. No Access

    Article

    Worst case scenario analysis for elliptic problems with uncertainty

    This work studies linear elliptic problems under uncertainty. The major emphasis is on the deterministic treatment of such uncertainty. In particular, this work uses the Worst Scenario approach for the charact...

    I. Babuška, F. Nobile, R. Tempone in Numerische Mathematik (2005)