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We propose a new sensitivity analysis methodology for complex stochastic dynamics based on the Relative Entropy Rate. The method becomes computationally feasible at the stationary regime of the process and involves the calculation of…
We study the convergence analysis for general degenerate and non-reversible stochastic differential equations (SDEs). We apply the Lyapunov method to analyze the Fokker-Planck equation, in which the Lyapunov functional is chosen as a…
We consider the numerical solution of scalar, nonlinear degenerate convection-diffusion problems with random diffusion coefficient and with random flux functions. Building on recent results on the existence, uniqueness and continuous…
Convex integration has revealed that the Euler system of gas dynamics is ill-posed in the class of weak solutions even if the entropy inequality is imposed as an additional constraint. A natural question arises, namely, if a physically…
We show that, for first-order systems of conservation laws with a strictly convex entropy,in particular for the very simple so-called "inviscid" Burgers equation,it is possible to address the Cauchy problem by a suitable convex…
We propose an efficient stochastic method to implement numerically the Bogolubov approach to study finite-temperature Bose-Einstein condensates. Our method is based on the Wigner representation of the density matrix describing the non…
The decay of a parent particle into two or more daughter particles results in an entangled quantum state as a consequence of conservation laws in the decay process. Recent experiments at Belle and BaBar take advantage of quantum…
We study how the Shannon entropy of sequences produced by an information source converges to the source's entropy rate. We synthesize several phenomenological approaches to applying information theoretic measures of randomness and memory to…
This paper deals with the diffusive limit of the Jin and Xin model and its approximation by an asymptotic preserving finite volume scheme. At the continuous level, we determine a convergence rate to the diffusive limit by means of a…
There are three ways to conceptualize entropy: entropy as an extensive thermodynamic quantity of physical systems (Clausius, Boltzmann, Gibbs), entropy as a measure for information production of ergodic sources (Shannon), and entropy as a…
We consider the problem of estimating a probability distribution that maximizes the entropy while satisfying a finite number of moment constraints, possibly corrupted by noise. Based on duality of convex programming, we present a novel…
R\'enyi entropy is an important measure in the context of information theory as a generalization of Shannon entropy. This information measure was often used for uncertainty quantification of dynamical behaviour of stochastic processes. In…
We propose an expression for the production of entropy for system described by a stochastic dynamics which is appropriate for the case where the reverse transition rate vanishes but the forward transition is nonzero. The expression is…
This paper studies the notion of computational entropy. Using techniques from convex optimization, we investigate the following problems: (a) Can we derandomize the computational entropy? More precisely, for the computational entropy, what…
We study a model that the entropy per particle in the universe is constant. The sources for the entropy are the particle creation and a lambda decaying term. We find exact solutions for the Einstein field equations and show the compatibilty…
We discuss how maximum entropy methods may be applied to the reconstruction of Markov processes underlying empirical time series and compare this approach to usual frequency sampling. It is shown that, at least in low dimension, there…
We introduce a pathwise approach to analyze the relative performance of an equity portfolio with respect to a benchmark market portfolio. In this energy-entropy framework, the relative performance is decomposed into three components: a…
We consider continuous-time birth-and-death dynamics in $\mathbb{R}^d$ that admit at least one infinite-volume Gibbs point process based on area interactions as a reversible measure. For a large class of starting measures, we show that the…
Motivated by modeling transport processes in the growth of neurons, we present results on (nonlinear) Fokker-Planck equations where the total mass is not conserved. This is either due to in- and outflow boundary conditions or to spatially…
We establish the theoretical framework for implementing the maximumn entropy on the mean (MEM) method for linear inverse problems in the setting of approximate (data-driven) priors. We prove a.s. convergence for empirical means and further…