Person

Dr., Universitätsprofessor

Raul Fidel Tempone

Lehrstuhl für Mathematics for Uncertainty Quantification

Adresse

Gebäude: 1953

Raum: 158.1

Pontdriesch 14-16

52062 Aachen

Kontakt

WorkPhone
Telefon: +49 241 80 99204
 

Publikationen

Quelle Autor(en)
[Fachzeitschriftenartikel]
Multilevel ensemble Kalman filtering for spatio-temporal processes
In: Numerische Mathematik, 147 (1), 71-125, 2020
[DOI: 10.1007/s00211-020-01159-3]
Chernov, Alexey
Hoel, Hakon Andreas
Law, Kody J. H. (Corresponding author)
Nobile, Fabio
Tempone, Raul
[Fachzeitschriftenartikel]
Efficient Importance Sampling for the Left Tail of Positive Gaussian Quadratic Forms
In: IEEE wireless communications letters, 10 (3), 527-531, 2020
[DOI: 10.1109/LWC.2020.3036588]
Issaid, Chaouki Ben (Corresponding author)
Alouini, Mohamed-Slim
Tempone, Raul
[Fachzeitschriftenartikel]
A note on tools for prediction under uncertainty and identifiability of SIR-like dynamical systems for epidemiology
In: Mathematical biosciences, 332, 108514, 2021
[DOI: 10.1016/j.mbs.2020.108514]
Piazzola, Chiara
Tamellini, Lorenzo (Corresponding author)
Tempone, Raúl
[Preprint]
Efficient Importance Sampling for Large Sums of Independent and Identically Distributed Random Variables, 2021
Ben Rached, Nadhir
Haji-Ali, Abdul-Lateef
Rubino, Gerardo
Tempone, Raul
[Fachzeitschriftenartikel]
Multilevel Ensemble Kalman Filtering based on a sample average of independent EnKF estimators
In: Foundations of data science, 2 (4), 351-390, 2020
[DOI: 10.3934/fods.2020017]
Hoel, Hakon Andreas
Shaimerdenova, Gaukhar (Corresponding author)
Tempone, Raúl
[Fachzeitschriftenartikel]
An Accurate Sample Rejection Estimator of the Outage Probability With Equal Gain Combining
In: IEEE open journal of the Communications Society, 1, 1022-1034, 2020
[DOI: 10.1109/OJCOMS.2020.3010649]
Ben Rached, Nadhir (Corresponding author)
Kammoun, Abla
Alouini, Mohamed-Slim
Tempone, Raul
[Fachzeitschriftenartikel]
Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks
In: Statistics and computing, 30 (6), 1665–1689, 2020
[DOI: 10.1007/s11222-020-09965-3]
Ben Hammouda, Chiheb (Corresponding author)
Ben Rached, Nadhir
Tempone, Raúl
[Fachzeitschriftenartikel]
Pricing American options by exercise rate optimization
In: Quantitative finance, 20 (11), 1749-1760, 2020
[DOI: 10.1080/14697688.2020.1750678]
Bayer, Christian
Tempone, Raul
Wolfers, Sören (Corresponding author)
[Fachzeitschriftenartikel]
A Universal Splitting Estimator for the Performance Evaluation of Wireless Communications Systems
In: IEEE transactions on wireless communications, 19 (7), 4353-4362, 2020
[DOI: 10.1109/TWC.2020.2982649]
Ben Rached, Nadhir (Corresponding author)
Mackinlay, Daniel
Botev, Zdravko
Tempone, Raul
Alouini, Mohamed-Slim
[Fachzeitschriftenartikel]
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
In: Quantitative finance, 20 (9), 1457-1473, 2020
[DOI: 10.1080/14697688.2020.1744700]
Bayer, Christian
Ben Hammouda, Chiheb (Corresponding author)
Tempone, Raul
[Fachzeitschriftenartikel]
Multilevel double loop Monte Carlo and stochastic collocation methods with importance sampling for Bayesian optimal experimental design
In: International journal for numerical methods in engineering, 121 (15), 3482-3503, 2020
[DOI: 10.1002/nme.6367]
Beck, Joakim
Mansour Dia, Ben
Espath, Luis (Corresponding author)
Tempone, Raul
[Fachzeitschriftenartikel]
Solution of the 3D density-driven groundwater flow problem with uncertain porosity and permeability
In: GEM : international journal on geomathematics, 11 (1), 10, 2020
[DOI: 10.1007/s13137-020-0147-1]
Litvinenko, Alexander (Corresponding author)
Logashenko, Dmitry
Tempone, Raul
Wittum, Gabriel
Keyes, David
[Fachzeitschriftenartikel]
Multilevel weighted least squares polynomial approximation
In: Mathematical modelling and numerical analysis, 54 (2), 649-677, 2020
[DOI: 10.1051/m2an/2019045]
Haji-Ali, Abdul-Lateef
Nobile, Fabio
Tempone, Raul
Wolfers, Sören (Corresponding author)
[Fachzeitschriftenartikel]
Multilevel Monte Carlo acceleration of seismic wave propagation under uncertainty
In: GEM : international journal on geomathematics, 10 (1), 1-43, 2019
[DOI: 10.1007/s13137-019-0135-5]
Ballesio, Marco (Corresponding author)
Beck, Joakim
Pandey, Anamika
Parisi, Laura
von Schwerin, Erik
et al.
[Fachzeitschriftenartikel]
IGA-based multi-index stochastic collocation for random PDEs on arbitrary domains
In: Computer methods in applied mechanics and engineering, 351, 330-350, 2019
[DOI: 10.1016/j.cma.2019.03.042]
Beck, Joakim (Corresponding author)
Tamellini, Lorenzo (Corresponding author)
Tempone, Raul
[Preprint]
Propagation of Uncertainties in Density-Driven Flow, 2019
[DOI: 10.18154/RWTH-2019-05721]
Litvinenko, Alexander (Corresponding author)
Logashenko, Dmitry
Tempone, Raul
Wittum, Gabriel
Keyes, David
[Preprint]
Solution of the 3D density-driven groundwater flow problem with uncertain porosity and permeability, 2019
[DOI: 10.18154/RWTH-2019-05666]
Litvinenko, Alexander (Corresponding author)
Dmitry, Logashenko
Tempone, Raul
Wittum, Gabriel
David, Keyes
[Fachzeitschriftenartikel]
Computation of Electromagnetic Fields Scattered From Objects With Uncertain Shapes Using Multilevel Monte Carlo Method
In: IEEE journal on multiscale and multiphysics computational techniques, 4, 51-64, 2019
[DOI: 10.1109/JMMCT.2019.2897490]
Litvinenko, Alexander (Corresponding author)
Yucel, Abdulkadir C.
Bagci, Hakan
Oppelstrup, Jesper
Michielssen, Eric
et al.
[Buchbeitrag, Beitrag zu einem Tagungsband]
Accurate Outage Probability Evaluation of Equal Gain Combining Receivers
In: 2018 IEEE Global Communications Conference (GLOBECOM) : proceedings : Abu Dhabi, UAE, 9-13 December 2018 / IEEE, 2018
[DOI: 10.1109/GLOCOM.2018.8647776]
Ben Rached, Nadhir
Kammoun, Abla
Alouini, Mohamed-Slim
Tempone, Raul
[Fachzeitschriftenartikel]
Multilevel and multi-index Monte Carlo methods for the McKean-Vlasov equation
In: Statistics and computing, 28 (4), 923-935, 2018
[DOI: 10.1007/s11222-017-9771-5]
Haji-Ali, Abdul-Lateef
Tempone, Raul
[Fachzeitschriftenartikel]
Smoothing the payoff for efficient computation of basket option prices
In: Quantitative finance, 18 (3), 491-505, 2018
[DOI: 10.1080/14697688.2017.1308003]
Bayer, Christian
Siebenmorgen, Markus
Tempone, Raul
[Fachzeitschriftenartikel]
On the generalization of the hazard rate twisting-based simulation approach
In: Statistics and computing, 28 (1), 61-75, 2018
[DOI: 10.1007/s11222-016-9716-4]
Ben Rached, Nadhir
Benkhelifa, Fatma
Kammoun, Abla
Alouini, Mohamed-Slim
Tempone, Raul
[Fachzeitschriftenartikel]
On the efficient simulation of the left-tail of the sum of correlated log-normal variates
In: Monte Carlo methods and applications, 24 (2), 101-115, 2018
[DOI: 10.1515/mcma-2018-0009]
Alouini, Mohamed-Slim
Ben Rached, Nadhir
Kammoun, Abla
Tempone, Raul
[Fachzeitschriftenartikel]
On the sum of order statistics and applications to wireless communication systems performances
In: IEEE transactions on wireless communications, 17 (11), 7801-7813, 2018
[DOI: 10.1109/TWC.2018.2871201]
Ben Rached, Nadhir
Botev, Zdravko
Kammoun, Abla
Alouini, Mohamed-Slim
Tempone, Raul
[Buchbeitrag, Beitrag zu einem Tagungsband]
Importance sampling estimator of outage probability under generalized selection combining model
In: 2018 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 3909-3913, 2018
Ben Rached, Nadhir
Botev, Zdravko
Kammoun, Abla
Alouini, Mohamed-Slim
Tempone, Raul
[Fachzeitschriftenartikel]
Ensemble-marginalized Kalman filter for linear time-dependent PDEs with noisy boundary conditions: application to heat transfer in building walls
In: Inverse problems, 34 (7), 075008, 26, 2018
[DOI: 10.1088/1361-6420/aac224]
Iglesias, Marco
Sawlan, Zaid
Scavino, Marco
Tempone, Raul
Wood, Christopher
[Fachzeitschriftenartikel]
Sparse approximation of multilinear problems with applications to kernel-based methods in UQ
In: Numerische Mathematik, 139 (1), 247-280, 2018
[DOI: 10.1007/s00211-017-0932-4]
Nobile, Fabio
Tempone, Raul
Wolfers, Sören
[Fachzeitschriftenartikel]
Fast Bayesian experimental design: Laplace-based importance sampling for the expected information gain
In: Computer methods in applied mechanics and engineering, 334, 523-553, 2018
[DOI: 10.1016/j.cma.2018.01.053]
Beck, Joakim
Dia, Ben Mansour
Espath, Luis F. R.
Long, Quan
Tempone, Raul
[Preprint]
Computation of Electromagnetic Fields Scattered From Objects With Uncertain Shapes Using Multilevel Monte Carlo Method, 2018
Litvinenko, Alexander (Corresponding author)
Yucel, Abdulkadir C.
Bagci, Hakan
Oppelstrup, Jesper
Michielssen, Eric
et al.
[Fachzeitschriftenartikel]
Multilevel sequential Monte Carlo samplers
In: Stochastic processes and their applications, 127 (5), 1417-1440, 2017
[DOI: 10.1016/j.spa.2016.08.004]
Beskos, Alexandros
Jasra, Ajay
Law, Kody
Tempone, Raul
Zhou, Yan
[Fachzeitschriftenartikel]
A hierarchical Bayesian setting for an inverse problem in linear parabolic PDEs with noisy boundary conditions
In: Bayesian analysis, 12 (2), 407-433, 2017
[DOI: 10.1214/16-BA1007]
Ruggeri, Fabrizio
Sawlan, Zaid
Scavino, Marco
Tempone, Raul
[Fachzeitschriftenartikel]
Multilevel hybrid split-step implicit tau-leap
In: Numerical algorithms, 74 (2), 527-560, 2017
[DOI: 10.1007/s11075-016-0158-z]
Ben Hammouda, Chiheb
Moraes, Alvaro
Tempone, Raul
[Fachzeitschriftenartikel]
On the Efficient Simulation of the Distribution of the Sum of Gamma--Gamma Variates With Application to the Outage Probability Evaluation Over Fading Channels
In: IEEE transactions on communications, 65 (4), 1839-1848, 2017
[DOI: 10.1109/TCOMM.2017.2658575]
Ben Issaid, Chaouki
Ben Rached, Nadhir
Kammoun, Abla
Alouini, Mohamed-Slim
Tempone, Raul
[Fachzeitschriftenartikel]
On the Efficient Simulation of Outage Probability in a Log-normal Fading Environment
In: IEEE transactions on communications, 65 (6), 2583-2593, 2017
[DOI: 10.1109/TCOMM.2017.2669979]
Ben Rached, Nadhir
Kammoun, Abla
Alouini, Mohamed-Slim
Tempone, Raul
[Fachzeitschriftenartikel]
A unified moment-based approach for the evaluation of the outage probability with noise and interference
In: IEEE transactions on wireless communications, 16 (2), 1012-1023, 2017
[DOI: 10.1109/TWC.2016.2635652]
Ben Rached, Nadhir
Kammoun, Abla
Alouini, Mohamed-Slim
Tempone, Raul
[Fachzeitschriftenartikel]
Bayesian inference and model comparison for metallic fatigue data
In: Computer methods in applied mechanics and engineering, 304, 171-196, 2016
[DOI: 10.1016/j.cma.2016.02.013]
Babuvska, Ivo
Sawlan, Zaid
Scavino, Marco
Szabo, Barna
Tempone, Raul
[Fachzeitschriftenartikel]
Optimization of mesh hierarchies in multilevel Monte Carlo samplers
In: Stochastics and partial differential equations, 4 (1), 76-112, 2016
[DOI: 10.1007/s40072-015-0049-7]
Haji-Ali, Abdul-Lateef
Nobile, Fabio
von Schwerin, Erik
Tempone, Raul
[Fachzeitschriftenartikel]
Multi-index Monte Carlo: when sparsity meets sampling
In: Numerische Mathematik, 132 (4), 767-806, 2016
[DOI: 10.1007/s00211-015-0734-5]
Haji-Ali, Abdul-Lateef
Nobile, Fabio
Tempone, Raul
[Fachzeitschriftenartikel]
Analytic regularity and collocation approximation for elliptic PDEs with random domain deformations
In: Computers and mathematics with applications, 71 (6), 1173-1197, 2016
[DOI: 10.1016/j.camwa.2016.01.005]
Castrillon-Candas, Julio E.
Nobile, Fabio
Tempone, Raul
[Fachzeitschriftenartikel]
An efficient forward-reverse expectation-maximization algorithm for statistical inference in stochastic reaction networks
In: Stochastic analysis and applications, 34 (2), 193-231, 2016
[DOI: 10.1080/07362994.2015.1116396]
Bayer, Christian
Moraes, Alvaro
Tempone, Raul
Vilanova, Pedro
[Buchbeitrag]
An adaptive sparse grid algorithm for elliptic PDEs with lognormal diffusion coefficient
In: Sparse Grids and Applications - Stuttgart 2014 / edited by Jochen Garcke, Dirk Pflüger, 191-220, 2016
[DOI: 10.1007/978-3-319-28262-6_8]
Nobile, Fabio
Tamellini, Lorenzo
Tesei, Francesco
Tempone, Raul
[Fachzeitschriftenartikel]
Computable error estimates for finite element approximations of elliptic partial differential equations with rough stochastic data
In: SIAM journal on scientific computing, 38 (6), A3773-A3807, 2016
[DOI: 10.1137/15M1044266]
Hall, Eric Joseph
Hoel, Haakon
Sandberg, Mattias
Szepessy, Anders
Tempone, Raul
[Fachzeitschriftenartikel]
Multi-index stochastic collocation convergence rates for random PDEs with parametric regularity
In: Foundations of computational mathematics : FoCM, 16 (6), 1555-1605, 2016
[DOI: 10.1007/s10208-016-9327-7]
Haji-Ali, Abdul-Lateef
Nobile, Fabio
Tamellini, Lorenzo
Tempone, Raul
[Fachzeitschriftenartikel]
Optimal Bayesian experimental design for priors of compact support with application to shock-tube experiments for combustion kinetics
In: International journal for numerical methods in engineering, 108 (2), 136-155, 2016
[DOI: 10.1002/nme.5211]
Bisetti, Fabrizio
Kim, Daesang
Knio, Omar
Long, Quan
Tempone, Raul
[Fachzeitschriftenartikel]
A sparse stochastic collocation technique for high-frequency wave propagation with uncertainty
In: SIAM ASA journal on uncertainty quantification, 4 (1), 1084-1110, 2016
[DOI: 10.1137/15M1029230]
Malenova, G.
Motamed, M.
Runborg, O.
Tempone, Raul
[Fachzeitschriftenartikel]
Convergence of quasi-optimal sparse-grid approximation of Hilbert-space-valued functions: application to random elliptic PDEs
In: Numerische Mathematik, 134 (2), 343-388, 2016
[DOI: 10.1007/s00211-015-0773-y]
Nobile, F.
Tamellini, L.
Tempone, Raul
[Buchbeitrag]
Construction of a mean square error adaptive Euler-Maruyama method with applications in multilevel Monte Carlo
In: Monte Carlo and Quasi-Monte Carlo Methods : MCQMC, Leuven, Belgium, April 2014 / edited by Ronald Cools, Dirk Nuyens, 29-86, 2016
[DOI: 10.1007/978-3-319-33507-0_2]
Hoel, Haakon
Häppölä, Juho
Tempone, Raul
[Fachzeitschriftenartikel]
A multilevel adaptive reaction-splitting simulation method for stochastic reaction networks
In: SIAM journal on scientific computing, 38 (4), A2091-A2117, 2016
[DOI: 10.1137/140972081]
Moraes, Alvaro
Tempone, Raul
Vilanova, Pedro
[Fachzeitschriftenartikel]
Multilevel ensemble Kalman filtering
In: SIAM journal on numerical analysis, 54 (3), 1813-1839, 2016
[DOI: 10.1137/15M100955X]
Hoel, Haakon
Law, Kody J. H.
Tempone, Raul
[Fachzeitschriftenartikel]
Multi-index stochastic collocation for random PDEs
In: Computer methods in applied mechanics and engineering, 306, 95-122, 2016
[DOI: 10.1016/j.cma.2016.03.029]
Haji-Ali, Abdul-Lateef
Nobile, Fabio
Tamellini, Lorenzo
Tempone, Raul
[Fachzeitschriftenartikel]
Deterministic mean-field ensemble Kalman filtering
In: SIAM journal on scientific computing, 38 (3), A1251-A1279, 2016
[DOI: 10.1137/140984415]
Law, Kody J. H.
Tembine, Hamidou
Tempone, Raul
[Fachzeitschriftenartikel]
Multilevel hybrid Chernoff tau-leap
In: BIT : numerical mathematics, 56 (1), 189-239, 2016
[DOI: 10.1007/s10543-015-0556-y]
Moraes, Alvaro
Tempone, Raul
Vilanova, Pedro
[Fachzeitschriftenartikel]
Unified importance sampling schemes for efficient simulation of outage capacity over generalized fading channels
In: IEEE journal of selected topics in signal processing, 10 (2), 376-388, 2016
[DOI: 10.1109/JSTSP.2015.2500201]
Ben Rached, Nadhir
Kammoun, Abla
Alouini, Mohamed-Slim
Tempone, Raul
[Beitrag zu einem Tagungsband]
An exact power series formula of the outage probability with noise and interference over generalized fading channels
In: Personal, Indoor, and Mobile Radio Communications (PIMRC), 2016 IEEE 27th Annual International Symposium on, 1-5, 2016
Ben Rached, Nadhir
Kammoun, Abla
Alouini, Mohamed-Slim
Tempone, Raul
[Beitrag zu einem Tagungsband]
On the sum of Gamma-Gamma variates with application to the fast outage probability evaluation over fading channels
In: Signal and Information Processing (GlobalSIP), 2016 IEEE Global Conference on, 25-29, 2016
Ben Issaid, Chaouki
Ben Rached, Nadhir
Kammoun, Abla
Alouini, Mohamed-Slim
Tempone, Raul
[Buchbeitrag]
Comparison of Clenshaw-Curtis and Leja quasi-optimal sparse grids for the approximation of random PDEs
In: Spectral and High Order Methods for Partial Differential Equations ICOSAHOM 2014 : Selected papers from the ICOSAHOM conference, June 23-27, 2014, Salt Lake City, Utah, USA / edited by Robert M. Kirby, Martin Berzins, Jan S. Hesthaven, 475-482, 2015
[DOI: 10.1007/978-3-319-19800-2_44]
Nobile, Fabio
Tamellini, Lorenzo
Tempone, Raul
[Fachzeitschriftenartikel]
Analysis and computation of the elastic wave equation with random coefficients
In: Computers and mathematics with applications, 70 (10), 2454-2473, 2015
[DOI: 10.1016/j.camwa.2015.09.013]
Motamed, Mohammad
Nobile, Fabio
Tempone, Raul
[Fachzeitschriftenartikel]
Convergence estimates in probability and in expectation for discrete least squares with noisy evaluations at random points
In: Journal of multivariate analysis : JMVA, 142, 167-182, 2015
[DOI: 10.1016/j.jmva.2015.08.009]
Migliorati, Giovanni
Nobile, Fabio
Tempone, Raul
[Fachzeitschriftenartikel]
A stochastic maximum principle for risk-sensitive mean-field type control
In: IEEE transactions on automatic control, 60 (10), 2640-2649, 2015
[DOI: 10.1109/TAC.2015.2406973]
Djehiche, Boualem
Tembine, Hamidou
Tempone, Raul
[Fachzeitschriftenartikel]
A continuation multilevel Monte Carlo algorithm
In: BIT : numerical mathematics, 55 (2), 399-432, 2015
[DOI: 10.1007/s10543-014-0511-3]
Collier, Nathan
Haji-Ali, Abdul-Lateef
Nobile, Fabio
von Schwerin, Erik
Tempone, Raul
[Fachzeitschriftenartikel]
Fast Bayesian optimal experimental design for seismic source inversion
In: Computer methods in applied mechanics and engineering, 291, 123-145, 2015
[DOI: 10.1016/j.cma.2015.03.021]
Long, Quan
Motamed, Mohammad
Tempone, Raul
[Fachzeitschriftenartikel]
Discrete least squares polynomial approximation with random evaluations---application to parametric and stochastic elliptic PDEs
In: Mathematical modelling and numerical analysis = Modélisation mathématique et analyse numérique, 49 (3), 815-837, 2015
[DOI: 10.1051/m2an/2014050]
Chkifa, Abdellah
Cohen, Albert
Migliorati, Giovanni
Nobile, Fabio
Tempone, Raul
[Fachzeitschriftenartikel]
An error estimate for symplectic Euler approximation of optimal control problems
In: SIAM journal on scientific computing, 37 (2), A946-A969, 2015
[DOI: 10.1137/140959481]
Karlsson, Jesper
Larsson, Stig
Sandberg, Mattias
Szepessy, Anders
Tempone, Raul
[Fachzeitschriftenartikel]
A Laplace method for under-determined Bayesian optimal experimental designs
In: Computer methods in applied mechanics and engineering, 285, 849-876, 2015
[DOI: 10.1016/j.cma.2014.12.008]
Long, Quan
Scavino, Marco
Tempone, Raul
Wang, Suojin
[Buchbeitrag, Beitrag zu einem Tagungsband]
An efficient simulation scheme of the outage probability with co-channel interference
In: Global Communications Conference (GLOBECOM), 2015 IEEE, 1-5, 2015
[DOI: 10.1109/GLOCOM.2015.7417652]
Ben Rached, Nadhir
Kammoun, Abla
Alouini, Mohamed-Slim
Tempone, Raul
[Fachzeitschriftenartikel]
An improved hazard rate twisting approach for the statistic of the sum of subexponential variates
In: IEEE Communications Letters, 19 (1), 14-17, 2015
[DOI: 10.1109/LCOMM.2014.2368562]
Ben Rached, Nadhir
Kammoun, Abla
Alouini, Mohamed-Slim
Tempone, Raul
[Beitrag zu einem Tagungsband]
A unified simulation approach for the fast outage capacity evaluation over generalized fading channels
In: 2015 IEEE International Symposium on Information Theory (ISIT), 2015
Ben Rached, Nadhir
Kammoun, Abla
Alouini, Mohamed-Slim
Tempone, Raul
[Beitrag zu einem Tagungsband]
A fast simulation method for the Log-normal sum distribution using a hazard rate twisting technique
In: 2015 IEEE International Conference on Communications (ICC), 2015
Ben Rached, Nadhir
Benkhelifa, Fatma
Alouini, Mohamed-Slim
Tempone, Raul
[Buchbeitrag]
A quasi-optimal sparse grids procedure for groundwater flows
In: Spectral and high order methods for partial differential equations---ICOSAHOM 2012, 1-16, 2014
[DOI: 10.1007/978-3-319-01601-6_1]
Beck, Joakim
Nobile, Fabio
Tamellini, Lorenzo
Tempone, Raul
[Fachzeitschriftenartikel]
Computable error estimates of a finite difference scheme for option pricing in exponential L\'evy models
In: BIT : numerical mathematics, 54 (4), 1023-1065, 2014
[DOI: 10.1007/s10543-014-0490-4]
Kiessling, Jonas
Tempone, Raul
[Fachzeitschriftenartikel]
Implementation and analysis of an adaptive multilevel Monte Carlo algorithm
In: Monte Carlo methods and applications, 20 (1), 1-41, 2014
[DOI: 10.1515/mcma-2013-0014]
Hoel, Haakon
von Schwerin, Erik
Szepessy, Anders
Tempone, Raul
[Fachzeitschriftenartikel]
A stochastic multiscale method for the elastodynamic wave equation arising from fiber composites
In: Computer methods in applied mechanics and engineering, 276, 190-211, 2014
[DOI: 10.1016/j.cma.2014.02.018]
Babuvska, Ivo
Motamed, Mohammad
Tempone, Raul
[Fachzeitschriftenartikel]
Analysis of discrete $L^2$ projection on polynomial spaces with random evaluations
In: Foundations of computational mathematics : FoCM, 14 (3), 419-456, 2014
[DOI: 10.1007/s10208-013-9186-4]
Migliorati, G.
Nobile, F.
von Schwerin, E.
Tempone, Raul
[Fachzeitschriftenartikel]
On nonasymptotic optimal stopping criteria in Monte Carlo simulations
In: SIAM journal on scientific computing, 36 (2), A869-A885, 2014
[DOI: 10.1137/130911433]
Bayer, Christian
Hoel, Haakon
von Schwerin, Erik
Tempone, Raul
[Fachzeitschriftenartikel]
Hybrid Chernoff tau-leap
In: Multiscale modeling & simulation, 12 (2), 581-615, 2014
[DOI: 10.1137/130925657]
Moraes, Alvaro
Tempone, Raul
Vilanova, Pedro
[Fachzeitschriftenartikel]
Multiscale modeling of wear degradation in cylinder liners
In: Multiscale modeling & simulation, 12 (1), 396-409, 2014
[DOI: 10.1137/130927024]
Moraes, Alvaro
Ruggeri, Fabrizio
Tempone, Raul
Vilanova, Pedro
[Fachzeitschriftenartikel]
Convergence of quasi-optimal stochastic Galerkin methods for a class of PDES with random coefficients
In: Computers and mathematics with applications, 67 (4), 732-751, 2014
[DOI: 10.1016/j.camwa.2013.03.004]
Beck, Joakim
Nobile, Fabio
Tamellini, Lorenzo
Tempone, Raul
[Fachzeitschriftenartikel]
Monte Carlo Euler approximations of HJM term structure financial models
In: BIT : numerical mathematics, 53 (2), 341-383, 2013
[DOI: 10.1007/s10543-012-0410-4]
Björk, T.
Szepessy, A.
Tempone, Raul
Zouraris, G. E.
[Fachzeitschriftenartikel]
Fast estimation of expected information gains for Bayesian experimental designs based on Laplace approximations
In: Computer methods in applied mechanics and engineering, 259, 24-39, 2013
[DOI: 10.1016/j.cma.2013.02.017]
Long, Quan
Scavino, Marco
Tempone, Raul
Wang, Suojin
[Fachzeitschriftenartikel]
Approximation of quantities of interest in stochastic PDEs by the random discrete $L^2$ projection on polynomial spaces
In: SIAM journal on scientific computing, 35 (3), A1440-A1460, 2013
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Migliorati, G.
Nobile, F.
von Schwerin, E.
Tempone, Raul
[Fachzeitschriftenartikel]
A stochastic collocation method for the second order wave equation with a discontinuous random speed
In: Numerische Mathematik, 123 (3), 493-536, 2013
[DOI: 10.1007/s00211-012-0493-5]
Motamed, Mohammad
Nobile, Fabio
Tempone, Raul
[Buchbeitrag]
Adaptive multilevel Monte Carlo simulation
In: Numerical analysis of multiscale computations, 217-234, 2012
[DOI: 10.1007/978-3-642-21943-6_10]
Hoel, Haakon
von Schwerin, Erik
Szepessy, Anders
Tempone, Raul
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On the optimal polynomial approximation of stochastic PDEs by Galerkin and collocation methods
In: Mathematical models and methods in applied sciences (M 3 AS), 22 (9), 1250023, 33, 2012
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Beck, Joakim
Tempone, Raul
Nobile, Fabio
Tamellini, Lorenzo
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Diffusion approximation of L\'evy processes with a view towards finance
In: Monte Carlo methods and applications, 17 (1), 11-45, 2011
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Kiessling, Jonas
Tempone, Raul
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Stochastic spectral Galerkin and collocation methods for PDEs with random coefficients: a numerical comparison
In: Spectral and high order methods for partial differential equations, 43-62, 2011
[DOI: 10.1007/978-3-642-15337-2_3]
Bäck, Joakim
Nobile, Fabio
Tamellini, Lorenzo
Tempone, Raul
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Implementation of optimal Galerkin and collocation approximations of PDEs with random coefficients
In: CANUM 2010 : 40e Congrès National d'Analyse Numérique, 10-21, 2011
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Beck, J.
Nobile, F.
Tamellini, L.
Tempone, Raul
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Towards automatic global error control: computable weak error expansion for the tau-leap method
In: Monte Carlo methods and applications, 17 (3), 233-278, 2011
[DOI: 10.1515/MCMA.2011.011]
Karlsson, Jesper
Tempone, Raul
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A stochastic collocation method for elliptic partial differential equations with random input data
In: SIAM review, 52 (2), 317-355, 2010
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Babuvska, Ivo
Nobile, Fabio
Tempone, Raul
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Adaptive weak approximation of reflected and stopped diffusions
In: Monte Carlo methods and applications, 16 (1), 1-67, 2010
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Bayer, Christian
Szepessy, Anders
Tempone, Raul
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Analysis and implementation issues for the numerical approximation of parabolic equations with random coefficients
In: International journal for numerical methods in engineering, 80 (6-7), 979-1006, 2009
[DOI: 10.1002/nme.2656]
Nobile, F.
Tempone, Raul
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An anisotropic sparse grid stochastic collocation method for partial differential equations with random input data
In: SIAM journal on numerical analysis, 46 (5), 2411-2442, 2008
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Nobile, F.
Tempone, Raul
Webster, C. G.
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A sparse grid stochastic collocation method for partial differential equations with random input data
In: SIAM journal on numerical analysis, 46 (5), 2309-2345, 2008
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Nobile, F.
Tempone, Raul
Webster, C. G.
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Validation Challenge Workshop
In: Computer methods in applied mechanics and engineering, 197 (29-32), 2375-2380, 2008
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Hills, Richard G.
Pilch, Martin
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Adaptive weak approximation of diffusions with jumps
In: SIAM journal on numerical analysis, 46 (4), 1732-1768, 2008
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Mordecki, E.
Zouraris, G.
Szepessy, A.
Tempone, Raul
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Reliability of computational science
In: Numerical methods for partial differential equations, 23 (4), 753-784, 2007
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Babuvska, I.
Nobile, F.
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A stochastic collocation method for elliptic partial
In: SIAM journal on numerical analysis, 45 (3), 1005-1034, 2007
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Babuvska, Ivo
Nobile, Fabio
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Convergence rates for an adaptive dual weighted residual finite element algorithm
In: BIT : numerical mathematics, 46 (2), 367-407, 2006
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Moon, K.-S.
von Schwerin, E.
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Tempone, Raul
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An adaptive algorithm for ordinary, stochastic and partial differential equations
In: Recent advances in adaptive computation, 325-343, 2005
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Moon, Kyoung-Sook
von Schwerin, Erik
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Worst case scenario analysis for elliptic problems with uncertainty
In: Numerische Mathematik, 101 (2), 185-219, 2005
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Babuvska, I.
Nobile, F.
Tempone, Raul
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Adaptive Monte Carlo algorithms for stopped diffusion
In: Multiscale methods in science and engineering, 59-88, 2005
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Dzougoutov, Anna
Moon, Kyoung-Sook
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Szepessy, Anders
Tempone, Raul
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Convergence rates for adaptive weak approximation of
In: Stochastic analysis and applications, 23 (3), 511-558, 2005
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Moon, Kyoung-Sook
Szepessy, Anders
Tempone, Raul
Zouraris, Georgios E.
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Solving elliptic boundary value problems with uncertain
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Babuvska, Ivo
Tempone, Raul
Zouraris, Georgios E.
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Theory and methodology for estimation and control of errors due to modeling, approximation, and uncertainty
In: Computer methods in applied mechanics and engineering, 194 (2-5), 195-204, 2005
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Oden, J. Tinsley
Babuvska, Ivo
Nobile, Fabio
Feng, Yusheng
Tempone, Raul
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Galerkin finite element approximations of stochastic elliptic partial differential equations
In: SIAM journal on numerical analysis, 42 (2), 800-825, 2004
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Babuvska, Ivo
Tempone, Raul
Zouraris, Georgios E.
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A variational principle for adaptive approximation of ordinary differential equations
In: Numerische Mathematik, 96 (1), 131-152, 2003
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Moon, Kyoung-Sook
Szepessy, Anders
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Convergence rates for adaptive approximation of ordinary differential equations
In: Numerische Mathematik, 96 (1), 99-129, 2003
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Moon, Kyoung-Sook
Szepessy, Anders
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Solving stochastic partial differential equations based on the experimental data
In: Mathematical models and methods in applied sciences (M 3 AS), 13 (3), 415-444, 2003
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Babuvska, Ivo
Liu, Kang-Man
Tempone, Raul
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Hyperbolic differential equations and adaptive numerics
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Moon, Kyoung-Sook
Szepessy, Anders
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Adaptive weak approximation of stochastic differential equations
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Szepessy, Anders
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