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Since diffusion processes arise in so many different fields, efficient tech-nics for the simulation of sample paths, like discretization schemes, represent crucial tools in applied probability. Such methods permit to obtain approximations…
We consider the problem of learning an unknown product distribution $X$ over $\{0,1\}^n$ using samples $f(X)$ where $f$ is a \emph{known} transformation function. Each choice of a transformation function $f$ specifies a learning problem in…
Inverse problems exist in many disciplines of science and engineering. In computer vision, for example, tasks such as inpainting, deblurring, and super resolution can be effectively modeled as inverse problems. Recently, denoising diffusion…
The well-know needle experiment of Buffon can be regarded as an analog (i.e., continuous) device that stochastically "computes" the number 2/pi ~ 0.63661, which is the experiment's probability of success. Generalizing the experiment and…
Reversible simulation of irreversible algorithms is analyzed in the stylized form of a `reversible' pebble game. While such simulations incur little overhead in additional computation time, they use a large amount of additional memory space…
We shall show in this paper that there are experiments which are Bernoulli trials with success probability p > 0.5, and which have the curious feature that it is possible to correctly predict the outcome with probability > p.
Simple Monte Carlo is a versatile computational method with a convergence rate of $O(n^{-1/2})$. It can be used to estimate the means of random variables whose distributions are unknown. Bernoulli random variables, $Y$, are widely used to…
Suppose that we are given an infinite binary sequence which is random for a Bernoulli measure of parameter $p$. By the law of large numbers, the frequency of zeros in the sequence tends to~$p$, and thus we can get better and better…
Randomness processing in the Bernoulli factory framework provides a concrete setting in which quantum resources can outperform classical ones. We experimentally demonstrate an entanglement-assisted quantum Bernoulli factory based on…
This paper investigates an inverse source problem for space-time fractional diffusion equations from a posteriori interior measurements. The uniqueness result is established by the memory effect of fractional derivatives and the unique…
The dynamics of a population exhibiting exponential growth can be modelled as a birth-death process, which naturally captures the stochastic variation in population size over time. In this article, we consider a supercritical birth-death…
We consider a multi-step algorithm for the computation of the historical expected shortfall such as defined by the Basel Minimum Capital Requirements for Market Risk. At each step of the algorithm, we use Monte Carlo simulations to reduce…
Let $V(k)$ denote the waiting time, the number of trials needed to get a consecutive $k$ ones. We propose recurrence algorithms for the probability distribution function (pdf) and the probability generating function (pgf) of $V(k)$ in…
A cloud scheduler packs tasks onto machines with contradictory goals of (1) using the machines as efficiently as possible while (2) avoiding overloading that might result in CPU throttling or out-of-memory errors. We take a stochastic…
We present a conditional diffusion model - ConDiSim, for simulation-based inference of complex systems with intractable likelihoods. ConDiSim leverages denoising diffusion probabilistic models to approximate posterior distributions,…
For random variables produced through the inverse transform method, approximate random variables are introduced, which are produced by approximations to a distribution's inverse cumulative distribution function. These approximations are…
We introduce and study a non-oriented first passage percolation model having a property of statistical invariance by time reversal. This model is defined in a graph having directed edges and the passage times associated with each set of…
Stochastic processes defined on integer valued state spaces are popular within the physical and biological sciences. These models are necessary for capturing the dynamics of small systems where the individual nature of the populations…
We consider the Last-Success-Problem with $n$ independent Bernoulli random variables with parameters $p_i>0$. We improve the lower bound provided by F.T. Bruss for the probability of winning and provide an alternative proof to the one given…
In this paper we present numerical methods - finite differences and finite elements - for solution of partial differential equation of fractional order in time for one-dimensional space. This equation describes anomalous diffusion which is…