Related papers: On the Modified Random Walk for Monte-Carlo Radiat…
We present a new method to compute the first crossing distribution in excursion set theory for the case of correlated random walks. We use a combination of the path integral formalism of Maggiore & Riotto, and the integral equation solution…
The fundamental solutions of diffusion equation for the local-equilibrium and nonlocal models are considered as the limiting cases of the solution of a problem related to consideration of the Brownian particles random walks. The differences…
The motion of contaminant particles through complex environments such as fractured rocks or porous sediments is often characterized by anomalous diffusion: the spread of the transported quantity is found to grow sublinearly in time due to…
We consider a continuous random walk model for describing normal as well as anomalous diffusion of particles subjected to an external force when these particles diffuse in a uniformly expanding (or contracting) medium. A general equation…
Diffusion mediated reaction models are particularly ubiquitous in the description of physical, chemical or biological processes. The random walk schema is a useful tool for formulating these models. Recently, evanescent random walk models…
The theory and numerical modelling of radiation processes and radiative transfer play a key role in astrophysics: they provide the link between the physical properties of an object and the radiation it emits. In the modern era of…
We demonstrate the use of a variational method to determine a quantitative lower bound on the rate of convergence of Markov Chain Monte Carlo (MCMC) algorithms as a function of the target density and proposal density. The bound relies on…
Population Monte Carlo (PMC) sampling methods are powerful tools for approximating distributions of static unknowns given a set of observations. These methods are iterative in nature: at each step they generate samples from a proposal…
Light diffusion is usually associated with thick, opaque media. Indeed, multiple scattering is necessary for the onset of the diffusive regime and such condition is generally not met in almost transparent media. Nonetheless, at long enough…
Let $S_n$ be a random walk with i.i.d. increments which have zero mean and finite variance. For every $x\ge0$ we define the stopping time $\tau_x:=\inf\{n\ge1:x+S_n\le0\}$ and consider the probabilities $\mathbb{P}(x+S_n\ge y,\tau_x>n)$. We…
We study the Monte Carlo method for solving a linear system of the form $x = H x + b$. A sufficient condition for the method to work is $\| H \| < 1$, which greatly limits the usability of this method. We improve this condition by proposing…
We present the DIRTY radiative transfer model in this paper and a companion paper. This model computes the polarized radiative transfer of photons from arbitrary distributions of stars through arbitrary distributions of dust using Monte…
We study slow-subdiffusion in comparison to subdiffusion. Both of the processes are treated as random walks and can be described within continuous time random walk formalism. However, the probability density of the waiting time of a random…
We determine numerically the parallel, perpendicular, and antisymmetric diffusion coefficients for charged particles propagating in highly turbulent magnetic fields, by means of extensive Monte Carlo simulations. We propose simple…
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm was already introduced in both the Brownian context and in the Ornstein-Uhlenbeck context. Here…
This paper introduces a new Importance Sampling scheme, called Adaptive Twisted Importance Sampling, which is adequate for the improved estimation of rare event probabilities in he range of moderate deviations pertaining to the empirical…
We consider the random walk Metropolis algorithm on $\mathbb{R}^n$ with Gaussian proposals, and when the target probability measure is the $n$-fold product of a one-dimensional law. In the limit $n\to\infty$, it is well known (see [Ann.…
Random Walk Metropolis Hastings (RWMH) algorithm, is quite inefficient in high dimensions because of its abysmally slow acceptance rate. The slow acceptance rate results from the fact that RWMH separately updates each coordinate of the…
Anomalous transport is usually described either by models of continuous time random walks (CTRW) or, otherwise by fractional Fokker-Planck equations (FFPE). The asymptotic relation between properly scaled CTRW and fractional diffusion…
Simple random walks are a basic staple of the foundation of probability theory and form the building block of many useful and complex stochastic processes. In this paper we study a natural generalization of the random walk to a process in…