Related papers: Composition of stochastic B-series with applicatio…
We revisit the model of the ballistic deposition studied in \cite{bdeposition} and prove several combinatorial properties of the random tree structure formed by the underlying stochastic process. Our results include limit theorems for the…
We introduce the combinatorial notion of posetted trees and we use it in order to write an explicit expression of the Baker-Campbell-Hausdorff formula.
The problem of the Taylor-Ito and Taylor-Stratonovich expansions of the Ito stochastic processes in a neighborhood of a fixed moment of time is considered. The classical forms of the Taylor-Ito and Taylor-Stratonovich expansions are…
A general class of stochastic Runge-Kutta methods for the weak approximation of It\^o and Stratonovich stochastic differential equations with a multi-dimensional Wiener process is introduced. Colored rooted trees are used to derive an…
This paper introduces a new class of numerical methods for the time integration of evolution equations set as Cauchy problems of ODEs or PDEs. The systematic design of these methods mixes the Runge-Kutta collocation formalism with…
We investigate compositional iteration of fractional order for transseries. For any large positive transseries $T$ of exponentiality 0, there is a family $T^{[s]}$ indexed by real numbers $s$ corresponding to teration of order $s$. It is…
In the paper we analyse the exact solutions to scalar PDEs obtained thanks to summable Taylor series provided by Adomian's decomposition method. We propose the modification of the method which makes the calculations of Taylor coefficients…
This article introduces a certain class of stochastic processes, which we suggest to call mild Ito processes, and a new - somehow mild - Ito type formula for such processes. Examples of mild Ito processes are mild solutions of SPDEs and…
The article is devoted to the construction of effective procedures of the mean-square approximation of iterated Ito stochastic integrals of multiplicities 1 to 5 from the Taylor-Ito expansion based on multiple Fourier-Legendre series. The…
In this article we develop a method for the strong approximation of stochastic differential equations (SDEs) driven by L\'evy processes or general semimartingales. The main ingredients of our method is the perturbation of the SDE and the…
Stochastic Taylor expansions of the expectation of functionals applied to diffusion processes which are solutions of stochastic differential equation systems are introduced. Taylor formulas w.r.t. increments of the time are presented for…
We prove a closed formula for the derivative, of any order, of a implicit function, in terms of some binomial building blocks, and explain the combinatorics behind the coefficients appearing in the formula.
In this paper a set of previous general results for the development of B--series for a broad class of stochastic differential equations has been collected. The applicability of these results is demonstrated by the derivation of B--series…
Tensors are ubiquitous in science and engineering and tensor factorization approaches have become important tools for the characterization of higher order structure. Factorizations includes the outer-product rank Canonical Polyadic…
This paper studies the "explanation problem" for tree- and linearly-ordered array data, a problem motivated by database applications and recently solved for the one-dimensional tree-ordered case. In this paper, one is given a matrix A whose…
Lifting attempts to speed up probabilistic inference by exploiting symmetries in the model. Exact lifted inference methods, like their propositional counterparts, work by recursively decomposing the model and the problem. In the…
The solutions of parabolic and hyperbolic stochastic partial differential equations (SPDEs) driven by an infinite dimensional Brownian motion, which is a martingale, are in general not semi-martingales any more and therefore do not satisfy…
We present an analysis based on word combinatorics of splitting integrators for Ito or Stratonovich systems of stochastic differential equations. In particular we present a technique to write down systematically the expansion of the local…
The article is devoted to the implementation of strong numerical methods with convergence orders $0.5,$ $1.0,$ $1.5,$ $2.0,$ $2.5,$ and $3.0$ for Ito stochastic differential equations with multidimensional non-commutative noise based on the…
Recent developments in termination analysis for declarative programs emphasize the use of appropriate models for the logical theory representing the program at stake as a generic approach to prove termination of declarative programs. In…