Related papers: Weak Error for the Euler Scheme Approximation of D…
We study the discrete nonlinear Schr\"oinger equation with weak disorder, focusing on the regime when the nonlinearity is, on the one hand, weak enough for the normal modes of the linear problem to remain well resolved, but on the other,…
We prove that the weak solution of a uniformly elliptic stochastic differential equation with locally smooth diffusion coefficient and H\"{o}lder continuous drift has a H\"{o}lder continuous density function. This result complements recent…
We consider a class of cross diffusion systems with degenerate (or porous media type) diffusion which is inspired by models in mathematical biology/ecology with zero self diffusions. Known techniques for scalar equations are no longer…
A standard convergence analysis of the simulation schemes for the hitting times of diffusions typically requires non-degeneracy of their coefficients on the boundary, which excludes the possibility of absorption. In this paper we consider…
We develop a technique of multiple scale asymptotic expansions along mean flows and a corresponding notion of weak multiple scale convergence. These are applied to homogenize convection dominated parabolic equations with rapidly…
We give a probabilistic numerical method for solving a partial differential equation with fractional diffusion and nonlinear drift. The probabilistic interpretation of this equation uses a system of particles driven by L\'evy alpha-stable…
The present work deals with the derivation of corrector estimates for the two-scale homogenization of a thermo-diffusion model with weak thermal coupling posed in a heterogeneous medium endowed with periodically arranged high-contrast…
Nonequilibrium fluctuation-dissipation theorems (FDTs) are one of the most important advances in stochastic thermodynamics over the past two decades. Here we provide rigorous mathematical proofs of two types of nonequilibrium FDTs for…
Discrete flow models (DFMs) have been proposed to learn the data distribution on finite state space, offering a flexible framework as an alternative to discrete diffusion models. A line of recent work has studied samplers for discrete…
In this article we show that for SDEs with a drift coefficient that is non-locally integrable, one may define a tamed Euler scheme that converges in $L^p$ at rate $1/2$ to the true solution. The taming is required in this case since one…
This article addresses mixing and diffusion properties of passive scalars advected by rough ($C^\alpha$) shear flows. We show that in general, one cannot expect a rough shear flow to increase the rate of inviscid mixing to more than that of…
In this note, we examine the forward-Euler discretization for simulating Wasserstein gradient flows. We provide two counter-examples showcasing the failure of this discretization even for a simple case where the energy functional is defined…
In this article we consider the multi-layer shallow water system for the propagation of gravity waves in density-stratified flows, with additional terms introduced by the oceanographers Gent and McWilliams in order to take into account…
We present an ``equation-free'' multiscale approach to the simulation of unsteady diffusion in a random medium. The diffusivity of the medium is modeled as a random field with short correlation length, and the governing equations are cast…
We study Bayes procedures for the problem of nonparametric drift estimation for one-dimensional, ergodic diffusion models from discrete-time, low-frequency data. We give conditions for posterior consistency and verify these conditions for…
We consider nonparametric invariant density and drift estimation for a class of multidimensional degenerate resp. hypoelliptic diffusion processes, so-called stochastic damping Hamiltonian systems or kinetic diffusions, under anisotropic…
Discretization of continuous-time diffusion processes is a widely recognized method for sampling. However, the canonical Euler Maruyama discretization of the Langevin diffusion process, referred as Unadjusted Langevin Algorithm (ULA),…
For given strongly local Dirichlet forms with possibly degenerate symmetric (sub)-elliptic matrix, we show the existence of weak solutions to the stochastic differential equations (associated with the Dirichlet forms) starting from all…
We present a general framework for Bayesian estimation of incompletely observed multivariate diffusion processes. Observations are assumed to be discrete in time, noisy and incomplete. We assume the drift and diffusion coefficient depend on…
This paper is devoted to the numerical analysis of a piecewise constant discontinuous Galerkin method for time fractional subdiffusion problems. The regularity of weak solution is firstly established by using variational approach and…