research
∙
05/21/2021
Bayesian Uncertainty Quantification of Local Volatility Model
Local volatility is an important quantity in option pricing, portfolio h...
share
research
∙
05/08/2021
Spline-Based Bayesian Emulators for Large Scale Spatial Inverse Problems
A Bayesian approach to nonlinear inverse problems is considered where th...
research
∙
01/01/2021
A Two Stage Adaptive Metropolis Algorithm
We propose a new sampling algorithm combining two quite powerful ideas i...
research
∙
06/30/2020
Preconditioning Markov Chain Monte Carlo Method for Geomechanical Subsidence using multiscale method and machine learning technique
In this paper, we consider the numerical solution of the poroelasticity ...
research
∙
02/04/2020
Stochastic Simulators: An Overview with Opportunities
In modern science, deterministic computer models are often used to under...
research
∙
11/21/2019
Computer Model Emulation with High-Dimensional Functional Output in Large-Scale Observing System Uncertainty Experiments
The observing system uncertainty experiments (OSUEs) have been widely us...
research
∙
04/01/2019
Stratified Random Sampling for Dependent Inputs
A new approach of obtaining stratified random samples from statistically...
research
∙
10/15/2018