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When simulating molecular systems using deterministic equations of motion (e.g., Newtonian dynamics), such equations are generally numerically integrated according to a well-developed set of algorithms that share commonly agreed-upon…
We introduce a new probabilistic approach to quantify convergence to equilibrium for (kinetic) Langevin processes. In contrast to previous analytic approaches that focus on the associated kinetic Fokker-Planck equation, our approach is…
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…
We consider a generalized Thirring model in 0+1 dimensions at finite density. In order to deal with the resulting sign problem we employ stochastic quantization, i.e., a complex Langevin evolution. We investigate the convergence properties…
As a result of the application of a technique of multistep processes stochastic models construction the range of models, implemented as a self-consistent differential equations, was obtained. These are partial differential equations (master…
We present an application of the standard Langevin dynamics to the problem of weak coupling perturbative expansions for Lattice QCD. This method can be applied to the computation of the most general observables. In this preliminary work we…
We consider a generalization of the Thirring model in 2+1 dimensions at finite density. We employ stochastic quantization and check for the applicability in the finite density case to circumvent the sign problem. To this end we derive…
The sign problem is a major obstacle to our understanding of the phase diagram of QCD at finite baryon density. Several numerical methods have been proposed to tackle this problem, but a full solution to the sign problem is still elusive.…
In this paper, we study the problem of sampling from a given probability density function that is known to be smooth and strongly log-concave. We analyze several methods of approximate sampling based on discretizations of the (highly…
A fundamental problem in Bayesian inference and statistical machine learning is to efficiently sample from multimodal distributions. Due to metastability, multimodal distributions are difficult to sample using standard Markov chain Monte…
Complex weights appear in Physics which are beyond a straightforward importance sampling treatment, as required in Monte Carlo calculations. This is the well-known sign problem. The complex Langevin approach amounts to effectively construct…
If the fermion mass is large enough, the phase of the fermion determinant of QCD at finite density is strongly correlated with the imaginary part of the Polyakov loop. This fact can be exploited to reduce the fluctuations of the phase…
The ability to describe strongly interacting matter at finite temperature and baryon density provides the means to determine, for instance, the equation of state of QCD at non-zero baryon chemical potential. From a theoretical point of…
We study the connection between the parameters of the fractional Fokker-Planck equation, which is associated with the overdamped Langevin equation driven by noise with heavy-tailed increments, and the transition probability density of the…
Stochastic Gradient Langevin Dynamics (SGLD) ensures strong guarantees with regards to convergence in measure for sampling log-concave posterior distributions by adding noise to stochastic gradient iterates. Given the size of many practical…
We study strong existence and pathwise uniqueness for stochastic differential equations in $\RR^d$ with rough coefficients, and without assuming uniform ellipticity for the diffusion matrix. Our approach relies on direct quantitative…
Nonlinear, multiplicative Langevin equations for a complete set of slow variables in equilibrium systems are generally derived on the basis of the separation of time scales. The form of the equations is universal and equivalent to that…
The reweighting method developed in Glasgow to circumvent the lattice action becoming complex at finite density suffers from a pathological onset transition thought to be due to the reweighting. We present a new reweighting scheme based on…
We consider classical solutions to the kinetic Fokker-Planck equation on a bounded domain $\mathcal O \subset~\mathbb{R}^d$ in position, and we obtain a probabilistic representation of the solutions using the Langevin diffusion process with…
The standard Black-Scholes theory of option pricing is extended to cope with underlying return fluctuations described by general probability distributions. A Langevin process and its related Fokker-Planck equation are devised to model the…