Related papers: Conditioning diffusions with respect to partial ob…
We propose a method for approximating the large deviation rate function of time-integrated observables of diffusion processes, used in statistical physics to characterize the fluctuations of nonequilibrium systems. The method is based on…
We present a Monte Carlo simulation for the scattering of light in the case of an isotropic light source. The scattering phase functions are studied particularly in detail to understand how they can affect the multiple light scattering in…
In order to find the equilibrium geometries of molecules and solids and to perform ab initio molecular dynamics, it is necessary to calculate the forces on the nuclei. We present a correlated sampling method to efficiently calculate…
We consider a controlled second order differential equation which is partially observed with an additional fractional noise. we study the asymptotic (for large observation time) design problem of the input and give an efficient estimator of…
In this paper the filtering of partially observed diffusions, with discrete-time observations, is considered. It is assumed that only biased approximations of the diffusion can be obtained, for choice of an accuracy parameter indexed by…
We present a method of deriving two boundary conditions at a thin membrane for diffusion from experimental data. This method can be really useful in complex membrane systems in which we do not know mechanisms of processes occurring within…
In this paper we consider the filtering of partially observed multi-dimensional diffusion processes that are observed regularly at discrete times. We assume that, for numerical reasons, one has to time-discretize the diffusion process which…
Fractional, anomalous diffusion in space-periodic potentials is investigated. The analytical solution for the effective, fractional diffusion coefficient in an arbitrary periodic potential is obtained in closed form in terms of two…
We discuss a class of diffusion-type partial differential equations on a bounded interval and discuss the possibility of replacing the boundary conditions by certain linear conditions on the moments of order 0 (the total mass) and of…
In this note we analyse the propagation of a small density perturbation in a one-dimensional compressible fluid by means of fractional calculus modelling, replacing thus the ordinary time derivative with the Caputo fractional derivative in…
The generalized diffusion equations with fractional order derivatives have shown be quite efficient to describe the diffusion in complex systems, with the advantage of producing exact expressions for the underlying diffusive properties.…
Direct sampling of multi-dimensional systems with quantum Monte Carlo methods allows exact account of many-body effects or particle correlations. The most straightforward approach to solve the Schr\"odinger equation, Diffusion Monte Carlo,…
We show that the common local Monte Carlo rules used to simulate the motion of driven flux lines in disordered media cannot capture the interplay between elasticity and disorder which lies at the heart of these systems. We therefore discuss…
We establish stochastic functional integral representations for incompressible fluid flows occupying wall-bounded domains using the conditional law duality for a class of diffusion processes. These representations are used to derive a…
We consider a diffusion processes $\{ X_t \}$ on an interval in the natural scale. Some results are known under which $\{ X_t \}$ is a martingale, and we give simple and analytic proofs for them.
It is shown that as far as the linear diffusion equation meets both time- and space- translational invariance, the time dependence of a moment of degree $\alpha$ is a polynomial of degree at most equal to $\alpha$, while all connected…
In this paper we study generalized time-fractional diffusion equations on the Poincar\`e half plane $\mathbb{H}_2^+$. The time-fractional operators here considered are fractional derivatives of a function with respect to another function,…
The atmospheric scattering of light has a significant influence on results of optical observations of air showers. It causes attenuation of direct light from the shower, but also contributes a delayed signal to the observed light. The…
We continue to develop a new approach to description of charge kinetics in disordered semiconductors. It is based on fractional diffusion equations. This article is devoted to transient processes in structures under dispersive transport…
We present a Monte Carlo simulation for the scattering of light in the case of an isotropic light source. The scattering phase functions are studied particularly in detail to understand how they can affect the multiple light scattering in…