Related papers: The factorization and simulation for fundamental s…
In this paper, we present an algorithm for computing a fundamental matrix of formal solutions of completely integrable Pfaffian systems with normal crossings in several variables. This algorithm is a generalization of a method developed for…
In this paper we consider multi-dimensional partial differential equations of parabolic type involving divergence form operators that possess a discontinuous coefficient matrix along some smooth interface. The solution of the equation is…
We study regularity and decay properties for the solutions of the Cauchy problem for time-fractional partial differential equations, with tempered initial data, belonging to suitable (weighted) Sobolev spaces, associated with a differential…
Doubly intractable distributions arise in many settings, for example in Markov models for point processes and exponential random graph models for networks. Bayesian inference for these models is challenging because they involve intractable…
This paper provides a probabilistic approach to solve linear equations involving Caputo and Riemann-Liouville type derivatives. Using the probabilistic interpretation of these operators as the generators of interrupted Feller processes, we…
We investigate the possibility of fast, accurate and reliable computation of the Cauchy principal value integrals $\mathrm{P}\!\int_{a}^{b} f(x)(x-\tau)^{-1} dx$ $(a < \tau < b)$ using standard adaptive quadratures. In order to properly…
We consider the canonical fundamental systems of solutions of linear homogeneous Caputo fractional differential equations with continuous variable coefficients. Here we gained a series-representation of the canonical fundamental system by…
We consider the Cauchy problem for a linear stochastic partial differential equation. By extending the parametrix method for PDEs whose coefficients are only measurable with respect to the time variable, we prove existence, regularity in…
We develop a Monte Carlo wave function algorithm for the quantum linear Boltzmann equation, a Markovian master equation describing the quantum motion of a test particle interacting with the particles of an environmental background gas. The…
Motivated by recent development of mean-field systems with common noise, this paper establishes Ito's formula for flows of conditional probability measures under a common filtration associated with general semimartingales. This generalizes…
The cavity method is a well established technique for solving classical spin models on sparse random graphs (mean-field models with finite connectivity). Laumann et al. [arXiv:0706.4391] proposed recently an extension of this method to…
We consider the probabilistic numerical scheme for fully nonlinear PDEs suggested in \cite{cstv}, and show that it can be introduced naturally as a combination of Monte Carlo and finite differences scheme without appealing to the theory of…
We propose a new Monte Carlo method for efficiently sampling trajectories with fixed initial and final conditions in a system with discrete degrees of freedom. The method can be applied to any stochastic process with local interactions,…
We consider the Cauchy problem for a stochastic scalar parabolic-hyperbolic equation in any space dimension with nonlocal, nonlinear, and possibly degenerate diffusion terms. The equations are nonlocal because they involve fractional…
We consider the Cauchy problem of fractional pseudo-parabolic equation on the whole space $R^n,n\geq 1$. Here, the fractional order $\alpha$ is related to the diffusion-type source term behaving as the usual diffusion term on the high…
We present a path integral formulation of Darcy's equation in one dimension with random permeability described by a correlated multi-variate lognormal distribution. This path integral is evaluated with the Markov chain Monte Carlo method to…
Let X be the mild solution to a semilinear stochastic partial differential equation. In this article, we develop methodology to sample from the infinite-dimensional diffusion bridge that arises from conditioning X on a linear transformation…
In this article we solve the Cauchy problem for the relaxation equation posed in a framework of variable order fractional calculus. After introducing some general mathematical theory we establish concepts of Scarpi derivative and transition…
We derive global analytic representations of fundamental solutions for a class of linear parabolic systems with full coupling of first order derivative terms where coefficient may depend on space and time. Pointwise convergence of the…
A new discretization approach is presented for the simulation of flow in complex poro-fractured media described by means of the Discrete Fracture and Matrix Model. The method is based on the numerical optimization of a properly defined…