Related papers: Particle approximation for Lagrangian Stochastic M…
The Lagrangian theory of structure formation in cosmological fluids, restricted to the matter model ``dust'', provides successful models of large-scale structure in the Universe in the laminar regime, i.e., where the fluid flow is…
We consider a system of N point particles moving on a d-dimensional torus. Each particle is subject to a uniform field E and random speed conserving collisions. This model is a variant of the Drude-Lorentz model of electrical conduction. In…
This paper examines the Laplace equation with mixed boundary conditions, the Neumann and Steklov boundary conditions. This models a container with holes in it, like a pond filled with water but partly covered by immovable pieces on the…
A stochastic model is proposed for the acceleration of non-relativistic particles yielding to energy spectra with a shape of a Weibull\textquoteright s function. Such particle distribution is found as the stationary solution of a…
We study a stochastic spatial epidemic model where the $N$ individuals carry two features: a position and an infection state, interact and move in $\R^d$. In this Markovian model, the evolution of the infection states are described with the…
The dynamics of a one-dimensional stochastic model is studied in presence of an absorbing boundary. The distribution of fluctuations is analytically characterized within the generalized van Kampen expansion, accounting for higher order…
Recursive estimation of nonlinear dynamical systems is an important problem that arises in several engineering applications. Consistent and accurate propagation of uncertainties is important to ensuring good estimation performance. It is…
We derive here Lagrangian fluctuation-dissipation relations for advected scalars in wall-bounded flows. The relations equate the dissipation rate for either passive or active scalars to the variance of scalar inputs from the initial values,…
This paper investigates Gaussian Markov random field approximations to nonstationary Gaussian fields using graph representations of stochastic partial differential equations. We establish approximation error guarantees building on the…
Concerning Numerical Stochastic Perturbation Theory, we discuss the convergence of the stochastic process (idea of the proof, features of the limit distribution, rate of convergence to equilibrium). Then we also discuss the expected…
This paper develops a non-asymptotic, local approach to quantitative propagation of chaos for a wide class of mean field diffusive dynamics. For a system of $n$ interacting particles, the relative entropy between the marginal law of $k$…
This work aims at introducing model methodology and numerical studies related to a Lagrangian stochastic approach applied to the computation of the wind circulation around mills. We adapt the Lagrangian stochastic downscaling method that we…
When classical particle filtering algorithms are used for maximum likelihood parameter estimation in nonlinear state-space models, a key challenge is that estimates of the likelihood function and its derivatives are inherently noisy. The…
This paper studies stochastic boundedness of trajectories of a nonvanishing stochastically perturbed stable LTI system. First, two definitions on stochastic boundedness of stochastic processes are presented, then the boundedness is analyzed…
A computationally efficient model is introduced to account for the sub-grid scale velocities of tracer particles dispersed in statistically homogeneous and isotropic turbulent flows. The model embeds the multi-scale nature of turbulent…
In this article we propose a generalization of the theory of diffusion approximation for random ODE to a nonlinear system of random Schr\"{o}dinger equations. This system arises in the study of pulse propagation in randomly birefringent…
We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of…
In the paper, we establish the existence of steady boundary layer solution of Boltzmann equation with specular boundary condition in $L^2_{x,v}\cap L^\infty_{x,v}$ in half-space. The uniqueness, continuity and exponential decay of the…
An assumed density approximate likelihood is derived for a class of partially observed stochastic compartmental models which permit observational over-dispersion. This is achieved by treating time-varying reporting probabilities as latent…
We consider a stochastic interacting particle system in a bounded domain with reflecting boundary, including creation of new particles on the boundary prescribed by a given source term. We show that such particle system approximates 2d…