Displaying similar documents to “Two-stage stochastic programming approach to a PDE-constrained steel production problem with the moving interface”

Mild solution of the heat equation with a general stochastic measure

Vadym Radchenko (2009)

Studia Mathematica

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The stochastic heat equation on [0,T]×ℝ driven by a general stochastic measure is investigated. Existence and uniqueness of the solution is established. Hölder regularity of the solution in time and space variables is proved.

Stochastic Taylor expansions and heat kernel asymptotics

Fabrice Baudoin (2012)

ESAIM: Probability and Statistics

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These notes focus on the applications of the stochastic Taylor expansion of solutions of stochastic differential equations to the study of heat kernels in small times. As an illustration of these methods we provide a new heat kernel proof of the Chern–Gauss–Bonnet theorem.

Regularization method for stochastic mathematical programs with complementarity constraints

Gui-Hua Lin, Masao Fukushima (2010)

ESAIM: Control, Optimisation and Calculus of Variations

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In this paper, we consider a class of stochastic mathematical programs with equilibrium constraints (SMPECs) that has been discussed by Lin and Fukushima (2003). Based on a reformulation given therein, we propose a regularization method for solving the problems. We show that, under a weak condition, an accumulation point of the generated sequence is a feasible point of the original problem. We also show that such an accumulation point is S-stationary to the problem under additional...

Symbolic computing in probabilistic and stochastic analysis

Marcin Kamiński (2015)

International Journal of Applied Mathematics and Computer Science

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The main aim is to present recent developments in applications of symbolic computing in probabilistic and stochastic analysis, and this is done using the example of the well-known MAPLE system. The key theoretical methods discussed are (i) analytical derivations, (ii) the classical Monte-Carlo simulation approach, (iii) the stochastic perturbation technique, as well as (iv) some semi-analytical approaches. It is demonstrated in particular how to engage the basic symbolic tools implemented...

Numerical solution of a stochastic model of a ball-type vibration absorber

Fischer, Cyril, Náprstek, Jiří

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The mathematical model of a ball-type vibration absorber represents a non-linear differential system which includes non-holonomic constraints. When a random ambient excitation is taken into account, the system has to be treated as a stochastic deferential equation. Depending on the level of simplification, an analytical solution is not practicable and numerical solution procedures have to be applied. The contribution presents a simple stochastic analysis of a particular resonance effect...

Computational modelling of thermal consumption of buildings with controlled interior temperature

Vala, Jiří

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New materials, structures and technologies used in civil engineering impeach traditional evaluations of the annual thermal consumption of buildings, based on the quasi-stationary estimate of the thermal resistance of the building envelope, or some operational parts of such building with the guaranteed temperature. The complete proper physical analysis, applying the principles of thermodynamics and appropriate constitutive relations for particular material layers and air in rooms, is...