Related papers: Density Tracking by Quadrature for Stochastic Diff…
Density tracking by quadrature (DTQ) is a numerical procedure for computing solutions to Fokker-Planck equations that describe probability densities for stochastic differential equations (SDEs). In this paper, we extend upon existing…
We consider a scenario in which a group of quadrotors is tasked at tracking multiple stationary targets in an unknown, bounded environment. The quadrotors search for targets along a spatial grid overlaid on the environment while performing…
A general theory is developed to study individual based models which are discrete in time. We begin by constructing a Markov chain model that converges to a one-dimensional map in the infinite population limit. Stochastic fluctuations are…
We develop a new method to solve the Fokker-Planck or Kolmogorov's forward equation that governs the time evolution of the joint probability density function of a continuous-time stochastic nonlinear system. Numerical solution of this…
We study a numerical method to compute probability density functions of solutions of stochastic differential equations. The method is sometimes called the numerical path integration method and has been shown to be fast and accurate in…
Poisson's equation has a lot of applications in various areas. Usually it is hard to derive the explicit expression of the solution of Poisson's equation for a Markov chain on an infinitely many state space. We will present a computational…
The continuous-time quantum walks (CTQWs) are a fundamental tool in the development of quantum algorithms. Recently, it was shown that discretizations of p-adic Schr\"odinger equations give rise to continuous-time quantum Markov chains…
We analyze the performance of the alternating direction method of multipliers (ADMM) to track, in a decentralized manner, a solution of a stochastic sequence of optimization problems parametrized by a discrete time Markov process. The main…
Emerging tensor network techniques for solutions of Partial Differential Equations (PDEs), known for their ability to break the curse of dimensionality, deliver new mathematical methods for ultrafast numerical solutions of high-dimensional…
We investigate the local times of a continuous-time Markov chain on an arbitrary discrete state space. For fixed finite range of the Markov chain, we derive an explicit formula for the joint density of all local times on the range, at any…
We present a stochastic method for efficiently computing the solution of time-fractional partial differential equations (fPDEs) that model anomalous diffusion problems of the subdiffusive type. After discretizing the fPDE in space, the…
Markov-modulated fluid queues are popular stochastic processes frequently used for modelling real-life applications. An important performance measure to evaluate in these applications is their steady-state behaviour, which is determined by…
This article studies a direct numerical approach for fractional advection-diffusion equations (ADEs). Using a set of cubic trigonometric B-splines as test functions, a differential quadrature (DQ) method is firstly proposed for the 1D and…
Mathematically modelling diffusive and advective transport of particles in heterogeneous layered media is important to many applications in computational, biological and medical physics. While deterministic continuum models of such…
In this paper, we propose a novel method to approximate the mean field stochastic differential equation by means of approximating the density function via Fokker-Planck equation. We construct a well-posed truncated Fokker-Planck equation…
In this paper, a robust sequential quadratic programming method for constrained optimization is generalized to problem with an {expectation} objective function {and} deterministic equality and inequality constraints. A stochastic line…
We investigate the local times of a continuous-time Markov chain on an arbitrary discrete state space. For fixed finite range of the Markov chain, we derive an explicit formula for the joint density of all local times on the range, at any…
In this article, an advanced differential quadrature (DQ) approach is proposed for the high-dimensional multi-term time-space-fractional partial differential equations (TSFPDEs) on convex domains. Firstly, a family of high-order difference…
The stochastic Cahn-Hilliard equation driven by a fractional Brownian sheet provides a more accurate model for correlated space-time random perturbations. This study delves into two key aspects: first, it rigorously examines the regularity…
This paper outlines an approach to the approximation of probability density functions by quadratic forms of weighted orthonormal basis functions with positive semi-definite Hermitian matrices of unit trace. Such matrices are called…