Related papers: The factorization and simulation for fundamental s…
We propose a method for efficiently coupling the finite element method with atomistic simulations, while using molecular dynamics or kinetic Monte Carlo techniques. Our method can dynamically build an optimized unstructured mesh that…
We present a numerical method for the Monte Carlo simulation of uncoupled continuous-time random walks with a Levy alpha-stable distribution of jumps in space and a Mittag-Leffler distribution of waiting times, and apply it to the…
A complete family of solutions for the one-dimensional reaction-diffusion equation \[ u_{xx}(x,t)-q(x)u(x,t) = u_t(x,t) \] with a coefficient $q$ depending on $x$ is constructed. The solutions represent the images of the heat polynomials…
In this article we study the Cauchy problem for a new class of parabolic-type pseudodifferential equations with variable coefficients for which the fundamental solutions are transition density functions of Markov processes in the four…
We develop a new class of path transformations for one-dimensional diffusions that are tailored to alter their long-run behaviour from transient to recurrent or vice versa. This immediately leads to a formula for the distribution of the…
We solve numerically exactly a simple toy model to quantum general relativity or more properly to path integral on a curved space. We consider the thermal equilibrium of a quantum many body problem on the sphere, the surface of constant…
We describe a novel simulation method that eliminates the slowing-down problem in the Monte Carlo simulations of imaginary-time path integrals near the continuum limit. This method combines a stochastic blocking procedure with the multigrid…
A geometric reformulation of the martingale problem associated with a set of diffusion processes is proposed. This formulation, based on second order geometry and Ito integration on manifolds, allows us to give a natural and effective…
In this paper, a diffusion-aggregation equation with delta potential is introduced. Based on the global existence and uniform estimates of solutions to the diffusion-aggregation equation, we also provide the rigorous derivation from a…
The paper is devoted to the numerical solutions of fractional PDEs based on its probabilistic interpretation, that is, we construct approximate solutions via certain Monte Carlo simulations. The main results represent the upper bound of…
It is shown that quadrature formulas in many different applications can be derived from rational approximation of the Cauchy transform of a weight function. Since rational approximation is now a routine technology, this provides an easy new…
A jump-diffusion process along with a particle scheme is devised as an accurate and efficient particle solution to the Boltzmann equation. The proposed process (hereafter Gamma-Boltzmann model) is devised to match the evolution of all…
We present a velocity-based Monte Carlo fluid solver that overcomes the limitations of its existing vorticity-based counterpart. Because the velocity-based formulation is more commonly used in graphics, our Monte Carlo solver can be readily…
We propose a variational approach to solve Cauchy problems for parabolic equations and systems independently of regularity theory for solutions. This produces a universal and conceptually simple construction of fundamental solution…
Solving partial differential equations for extremely large-scale systems within a feasible computation time serves in accelerating engineering developments. Quantum computing algorithms, particularly the Hamiltonian simulations, present a…
Normal factor graph duality offers new possibilities for Monte Carlo algorithms in graphical models. Specifically, we consider the problem of estimating the partition function of the ferromagnetic Ising and Potts models by Monte Carlo…
In this work, we discuss and compare three methods for the numerical approximation of constant- and variable-coefficient diffusion equations in both single and composite domains with possible discontinuity in the solution/flux at…
In a recent paper we have classified scalar Ito equations which admits a standard symmetry; these are also directly integrable by the Kozlov substitution. In the present work, we consider the diffusion (Fokker-Planck) equations associated…
For the fundamental solutions of heat-type equations of order $n$ we give a general stochastic representation in terms of damped oscillations with generalized gamma distributed parameters. By composing the pseudo-process $X_n$ related to…
We describe a Monte Carlo procedure which allows sampling of the disjoint configuration spaces associated with crystalline and fluid phases, within a single simulation. The method utilises biased sampling techniques to enhance the…