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In this paper, enlightened by the asymptotic expansion methodology developed by Li(2013b) and Li and Chen (2016), we propose a Taylor-type approximation for the transition densities of the stochastic differential equations (SDEs) driven by…

Computational Finance · Quantitative Finance 2020-03-16 Fan Jiang , Xin Zang , Jingping Yang

The approximation of invariant measures for nonlinear ergodic stochastic differential equations (SDEs) is a central problem in scientific computing, with important applications in stochastic sampling, physics, and ecology. We first propose…

Numerical Analysis · Mathematics 2025-11-18 Shan Huang , Xiaoyue Li

Motivated by the Asynchronous Finite Differences Method utilized for the calculation of the most probable distributions of finite particle number systems, this study employs numerical variation and central difference techniques to provide…

Statistical Mechanics · Physics 2023-04-07 Qi-Wei Liang , Wenyu Wang

We consider the problem of making nonparametric inference in a class of multi-dimensional diffusions in divergence form, from low-frequency data. Statistical analysis in this setting is notoriously challenging due to the intractability of…

Methodology · Statistics 2025-01-23 Matteo Giordano , Sven Wang

Quasi-equilibrium relaxational thermodynamics is developed to understand LA-phonon-assisted thermalization of Bose-Einstein distributed excitons in quantum wells. We study the quantum-statistical effects in the relaxational dynamics of the…

Statistical Mechanics · Physics 2009-10-31 A. L. Ivanov , P. B. Littlewood , H. Haug

In this paper, based on the idea of direct discrete modeling (DDM) with equilibrium distribution functions (EDFs), we develop a general framework of the mesoscopic numerical method (MesoNM) for macroscopic partial differential equations…

Numerical Analysis · Mathematics 2025-06-13 Baochang shi , Rui Du , Zhenhua Chai

It is proposed the modification of the Jacobi polynomial expansion method (MJEM) which is based on the application of the truncated moments instead of the full ones. This allows to reconstruct with a high precision the local quark helicity…

High Energy Physics - Phenomenology · Physics 2009-11-11 A. N. Sissakian , O. Yu. Shevchenko , O. N. Ivanov

This paper presents an asymptotically compatible error bound for the finite element method (FEM) applied to a nonlocal diffusion model. The analysis covers two scenarios: meshes with and without shape regularity. For shape-regular meshes,…

Numerical Analysis · Mathematics 2025-06-06 Yanzun Meng , Zuoqiang Shi

We applied Dirac distribution, Bose-Einstein distribution, and occasionally Boltzmann-Gibbs distribution in order to determine which is optimal for income distribution on a large pool of countries. The best fit to the data was observed in…

General Finance · Quantitative Finance 2016-03-29 Elvis Oltean , Fedor Kusmartsev

We consider a randomised implementation of the finite element method (FEM) for elliptic partial differential equations on high-dimensional models. This is motivated by applications where model predictions are essential for real-time process…

Numerical Analysis · Mathematics 2019-07-30 Yue Wu , Dimitris Kamilis , Nick Polydorides

Estimation of permutation entropy (PE) using Bayesian statistical methods is presented for systems where the ordinal pattern sampling follows an independent, multinomial distribution. It is demonstrated that the PE posterior distribution is…

Data Analysis, Statistics and Probability · Physics 2022-02-09 Douglas J. Little , Joshua P. Toomey , Deb M. Kane

This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for transition density is proposed and…

Statistics Theory · Mathematics 2013-08-14 Chenxu Li

This paper develops an asymptotic expansion technique in momentum space for stochastic filtering. It is shown that Fourier transformation combined with a polynomial-function approximation of the nonlinear terms gives a closed recursive…

Computational Finance · Quantitative Finance 2013-03-26 Masaaki Fujii

In this work we propose a completely new way to obtain statistics distributions from fluctuations balance. By dimensionless fluctuation analysis we obtain Boltzmann, Planck, Fermi-Dirac, Bose-Einstein and Schr\"odinger Distributions using…

Statistical Mechanics · Physics 2022-09-21 Marceliano Oliveira , George Valadares , Francisco Rodrigues , Márcio Freire

We present a new numerical method for studying the dynamics of quantum fluids composed of a Bose-Einstein condensate and a cloud of bosonic or fermionic atoms in a mean-field approximation. It combines an explicit time-marching algorithm,…

Statistical Mechanics · Physics 2009-11-07 P. Vignolo , M. L. Chiofalo , S. Succi , M. P. Tosi

By an extension of the Bethe ansatz method used by Gwa and Spohn, we obtain an exact expression for the large deviation function of the time averaged current for the fully asymmetric exclusion process in a ring containing $N$ sites and $p$…

Condensed Matter · Physics 2009-10-31 B. Derrida , J. L. Lebowitz

A method based on Maximum-Entropy (ME) principle to infer photon distribution from on/off measurements performed with few and low values of quantum efficiency is addressed. The method consists of two steps: at first some moments of the…

Quantum Physics · Physics 2009-11-11 Andrea R. Rossi , Matteo G. A. Paris

We study the effects of quantum statistics on the counting statistics of ultracold heteronuclear molecules formed by Feshbach-assisted photoassociation [Phys. Rev. Lett. {\bf 93}, 140405 (2004)]. Exploiting the formal similarities with sum…

Other Condensed Matter · Physics 2007-05-23 A. Nunnenkamp , D. Meiser , P. Meystre

The efficiency of statistical sampling in broad-histogram Monte Carlo simulations can be considerably improved by optimizing the simulated extended ensemble for fastest equilibration. Here we describe how a recently developed feedback…

Statistical Mechanics · Physics 2007-12-13 Stefan Wessel , Norbert Stoop , Emanuel Gull , Simon Trebst , Matthias Troyer

Analytic continuation of numerical data obtained in imaginary time or frequency has become an essential part of many branches of quantum computational physics. It is, however, an ill-conditioned procedure and thus a hard numerical problem.…

Strongly Correlated Electrons · Physics 2016-08-18 Dominic Bergeron , A. -M. S. Tremblay