Related papers: Computing sensitivity coefficients in Brownian dyn…
In this paper, we will construct the Malliavin derivative and the stochastic integral with respect to the Mixed fractional Brownian motion (mfbm) for H > 1/2. As an application, we try to estimate the drift parameter via Malliavin…
We propose an adaptive biasing algorithm aimed at enhancing the sampling of multimodal measures by Langevin dynamics. The underlying idea consists in generalizing the standard adaptive biasing force method commonly used in conjunction with…
Langevin and Brownian simulations play a prominent role in computational research, and state of the art integration algorithms provide trajectories with different stability ranges and accuracy in reproducing statistical averages. The…
Understanding microstructure in terms of closed-form expressions is an open challenge in nonequilibrium statistical physics. We propose a simple and generic method that combines particle-resolved simulations, deep neural networks and…
This paper investigates the pricing of financial derivatives and the calculation of their delta Greek when the underlying asset is a jump-diffusion process in which the stochastic intensity component follows the CIR process. Utilizing…
A systematic procedure for optimising the friction coefficient in underdamped Langevin dynamics as a sampling tool is given by taking the gradient of the associated asymptotic variance with respect to friction. We give an expression for…
We study numerical methods for sampling probability measures in high dimension where the underlying model is only approximately identified with a gradient system. Extended stochastic dynamical methods are discussed which have application to…
Many living and complex systems exhibit second order emergent dynamics. Limited experimental access to the configurational degrees of freedom results in data that appears to be generated by a non-Markovian process. This poses a challenge in…
Molecular motors and other complex nonequilibrium systems are controlled by large sets of design parameters, and optimizing those parameters requires computing sensitivities -- derivatives of dynamical observables with respect to the…
We study the causal distributionally robust optimization (DRO) in both discrete- and continuous- time settings. The framework captures model uncertainty, with potential models penalized in function of their adapted Wasserstein distance to a…
We describe in detail how to implement a coarse-grained hybrid Molecular Dynamics and Stochastic Rotation Dynamics simulation technique that captures the combined effects of Brownian and hydrodynamic forces in colloidal suspensions. The…
This paper presents the Fourier-Malliavin Volatility (FMVol) estimation library for MATLAB. This library includes functions that implement Fourier- Malliavin estimators (see Malliavin and Mancino (2002, 2009)) of the volatility and…
Brownian motion is a central scientific paradigm. Recently, due to increasing efforts and interests towards miniaturization and small-scale physics or biology, the effects of confinement on such a motion have become a key topic of…
Sensitivity methods for the analysis of the outputs of discrete Bayesian networks have been extensively studied and implemented in different software packages. These methods usually focus on the study of sensitivity functions and on the…
In generative modelling and stochastic optimal control, a central computational task is to modify a reference diffusion process to maximise a given terminal-time reward. Most existing methods require this reward to be differentiable, using…
By using the Kirkwood formula, the friction coefficient of a solvated Brownian particle is determined from the integration on time of the autocorrelation function of the force that the solvent exerts on this particle. Extensive molecular…
We consider the important problem of estimating parameter sensitivities for stochastic models of reaction networks that describe the dynamics as a continuous-time Markov process over a discrete lattice. These sensitivity values are useful…
Dynamics of non-Markovian systems is a classic problem yet it attracts an everlasting activity in physics and beyond. A powerful tool for modeling such setups is the Generalized Langevin Equation, however, its analysis typically poses a…
Motivated by a problematic coming from mathematical finance, this paper is devoted to existing and additional results of continuity and differentiability of the It\^o map associated to rough differential equations. These regularity results…
We show how to use the Malliavin calculus to obtain density estimates of the law of general centered random variables. In particular, under a non-degeneracy condition, we prove and use a new formula for the density of a random variable…