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Explicit numerical finite difference schemes for partial differential equations are well known to be easy to implement but they are particularly problematic for solving equations whose solutions admit shocks, blowups and discontinuities.…
In this work, we consider a finite-state inhomogeneous-time Markov chain whose probabilities of transition from one state to another tend to decrease over time. This can be seen as a cooling of the dynamics of an underlying Markov chain. We…
We are concerned with the convergence of a numerical scheme for the initial-boundary value problem associated to the Korteweg-de Vries- Kawahara equation (in short Kawahara equation), which is a transport equation perturbed by dispersive…
Complex network approaches have been successfully applied for studying transport processes in complex systems ranging from road, railway or airline infrastructure over industrial manufacturing to fluid dynamics. Here, we utilize a generic…
We show that Langevin$-$Smoluchowski measure on path space is invariant under time-reversal, followed by stochastic control of the drift with a novel entropic-type criterion. Repeated application of these forward-backward steps leads to a…
Diffusions are a fundamental class of models in many fields, including finance, engineering, and biology. Simulating diffusions is challenging as their sample paths are infinite-dimensional and their transition functions are typically…
We discuss a canonical structure that provides a unifying description of dynamical large deviations for irreversible finite state Markov chains (continuous time), Onsager theory, and Macroscopic Fluctuation Theory. For Markov chains, this…
We consider Markov chains on partially ordered sets that generalize the success-runs and remaining life chains in reliability theory. We find conditions for recurrence and transience and give simple expressions for the invariant…
We present in this paper a very adapted finite volume numerical scheme for transport type-equation. The scheme is an hybrid one combining an anti-dissipative method with down-winding approach for the flux and an high accurate method as the…
We study the convergence of an $N$-particle Markovian controlled system to the solution of a family of stochastic McKean-Vlasov control problems, either with a finite horizon or Schr\"odinger type cost functional. Specifically, under…
A probabilistic method for solving the Monge-Kantorovich mass transport problem on $R^d$ is introduced. A system of empirical measures of independent particles is built in such a way that it obeys a doubly indexed large deviation principle…
A probabilistic method for solving time-dependent load-transfer models of fracture is developed. It is applicable to any rule of load redistribution, i.e, local, hierarchical, etc. In the new method, the fluctuations are generated during…
We develop a new methodology for the fluctuation theory of continuous-time skip-free Markov chains, extending the recent work of Choi and Patie [5] for discrete-time skip-free Markov chains. As the main application we use it to derive a…
This article is concerned with the derivation of numerical reconstruction schemes for the inverse moving source problem on determining source profiles in (time-fractional) evolution equations. As a continuation of the theoretical result on…
We consider linear elliptic equations in divergence form with stationary random coefficients of integrable correlations. We characterize the fluctuations of a macroscopic observable of a solution to relative order $\frac{d}{2}$, where $d$…
Motivated in part by a problem in simulated tempering (a form of Markov chain Monte Carlo) we seek to minimise, in a suitable sense, the time it takes a (regular) diffusion with instantaneous reflection at 0 and 1 to travel from the origin…
This paper presents a numerical method to calculate the value function for a general discounted impulse control problem for piecewise deterministic Markov processes. Our approach is based on a quantization technique for the underlying…
Consider a system performing a continuous-time random walk on the integers, subject to catastrophes occurring at constant rate, and followed by exponentially-distributed repair times. After any repair the system starts anew from state zero.…
A diffusion's induced transport is defined for a linear model of a Fokker-Plank equation under periodic boundary conditions in one-dimensional geometry. The flow is generated by a diffusion and a periodic deriving force induced by a…
We introduce a new approach to quantize the Euler scheme of an $\mathbb{R}^d$-valued diffusion process. This method is based on a Markovian and componentwise product quantization and allows us, from a numerical point of view, to speak of…