Cover Image

Dirichlet-Neumann Averaging: The DNA of Efficient Gaussian Process Simulation

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Kutri, Robert, Scheichl, Robert
Format:	Preprint
Published:	2024
Subjects:	Computation Numerical Analysis Probability Methodology 60G15, 60G60, 60G10, 60-08, 65C20
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Fast reliable pricing and calibration of the rough Heston model
by: Boyarchenko, Svetlana, et al.
Published: (2025)

Investigation and Development of the Methodologies for Simulating Self-similar Processes
by: Peng, Qidi, et al.
Published: (2025)

Non-stationary Gaussian random fields on hypersurfaces: Sampling and strong error analysis
by: Jansson, Erik, et al.
Published: (2024)

Absolute continuity of non-Gaussian and Gaussian multiplicative chaos measures
by: Kim, Yujin H., et al.
Published: (2024)

A characterisation of the continuum Gaussian free field in $d \geq 2$ dimensions
by: Aru, Juhan, et al.
Published: (2021)

Correct implied volatility shapes and reliable pricing in the rough Heston model
by: Boyarchenko, Svetlana, et al.
Published: (2024)

Orthogonal gamma-based expansion for the CIR's first passage time distribution
by: Di Nardo, Elvira, et al.
Published: (2024)

On the orthogonality of zero-mean Gaussian measures: Sufficiently dense sampling
by: Furrer, Reinhard, et al.
Published: (2022)

Shift-generated $α$-homogeneous classes of jointly measurable random fields
by: Hashorva, Enkelejd
Published: (2025)

Non-asymptotic uniform in time error bounds for new and old numerical schemes for SPDEs
by: Huang, Can, et al.
Published: (2026)

The density of imaginary multiplicative chaos is positive
by: Aru, Juhan, et al.
Published: (2024)

A Primer on the Karhunen-Loève Expansion
by: Alexanderian, Alen
Published: (2026)

High-level moving excursions for spatiotemporal Gaussian random fields with long range dependence
by: Leonenko, N. N., et al.
Published: (2024)

On Construction, Properties and Simulation of Haar-Based Multifractional Processes
by: Ayache, Antoine, et al.
Published: (2025)

Canonical Rough Path over Tempered Fractional Brownian Motion: Existence, Construction, and Applications
by: Lechiheb, Atef
Published: (2025)

Isotropic Q-fractional Brownian motion on the sphere: regularity and fast simulation
by: Lang, Annika, et al.
Published: (2024)

The second fluctuation-dissipation theorem for the generalized Langevin equation
by: Hanke, Martin
Published: (2025)

Existence for low-regularity McKean-Vlasov dynamics via emergence of regularity
by: Crowell, Robert Alexander
Published: (2025)

A new approach to stochastic McKean-Vlasov limits with low-regularity coefficients
by: Crowell, Robert Alexander
Published: (2025)

Piecewise linear interpolation of noise in finite element approximations of parabolic SPDEs
by: Lord, Gabriel, et al.
Published: (2022)

Large Deviations for High Minima of Gaussian Processes with Nonnegatively Correlated Increments
by: Selk, Zachary
Published: (2021)

Exploiting Inexact Computations in Multilevel Monte Carlo and Other Sampling Methods
by: Martínek, Josef, et al.
Published: (2025)

Persistence probabilities of spherical fractional Brownian motion
by: Aurzada, Frank, et al.
Published: (2025)

Sample path properties of parabolic SPDEs with non constant coefficients
by: Dalang, Robert C., et al.
Published: (2024)

Investigation of sample paths properties of sub-Gaussian type random fields, with application to stochasic heat equations
by: Hopkalo, Olha, et al.
Published: (2024)

Noise-like analytic properties of imaginary chaos
by: Aru, Juhan, et al.
Published: (2024)

Fully discrete approximation of the semilinear stochastic wave equation on the sphere
by: Cohen, David, et al.
Published: (2026)

Skellam Processes via Multiparameter Poisson Process
by: Vishwakarma, Pradeep
Published: (2025)

Multigrid Monte Carlo Revisited: Theory and Bayesian Inference
by: Kazashi, Yoshihito, et al.
Published: (2024)

Sequential discretisation schemes for a class of stochastic differential equations and their application to Bayesian filtering
by: Akyildiz, Deniz, et al.
Published: (2022)

Uniform in time convergence of numerical schemes for stochastic differential equations via Strong Exponential stability: Euler methods, Split-Step and Tamed Schemes
by: Angeli, Letizia, et al.
Published: (2023)

On Log-Concave-Tailed Chaoses and the Restricted Isometry Property
by: Dai, Guozheng, et al.
Published: (2024)

On small deviations of Gaussian multiplicative chaos with a strictly logarithmic covariance on Euclidean ball
by: Talarczyk, Anna, et al.
Published: (2024)

Local repulsion between zeros and critical points of the Gaussian Entire Function
by: Haimi, Antti, et al.
Published: (2025)

Local times of self-intersection and sample path properties of Volterra Gaussian processes
by: Izyumtseva, Olga, et al.
Published: (2024)

On the speed of convergence of discrete Pickands constants to continuous ones
by: Bisewski, Krzysztof, et al.
Published: (2021)

Stationary states for stable processes with partial resetting
by: Grzywny, Tomasz, et al.
Published: (2024)

Existence and phase structure of random inverse limit measures
by: Kleijn, B. J. K.
Published: (2024)

Strong solution of stochastic differential equations with discontinuous and unbounded coefficients
by: Hu, Yaozhong, et al.
Published: (2023)

Measure Theory of Conditionally Independent Random Function Evaluation
by: Benning, Felix
Published: (2025)