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This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These…
Density-functional theory (DFT) has revolutionized computer simulations in chemistry and material science. A faithful implementation of the theory requires self-consistent calculations. However, this effort involves repeatedly diagonalizing…
In mathematical physics, the space-fractional diffusion equations are of particular interest in the studies of physical phenomena modelled by L\'{e}vy processes, which are sometimes called super-diffusion equations. In this article, we…
Deep hashing establishes efficient and effective image retrieval by end-to-end learning of deep representations and hash codes from similarity data. We present a compact coding solution, focusing on deep learning to quantization approach…
This paper is concerned with fully discrete mixed finite element approximations of the time-dependent stochastic Stokes equations with multiplicative noise. A prototypical method, which comprises of the Euler-Maruyama scheme for time…
We propose a new multi-dimensional discrete-time quantum walk (DTQW), whose continuum limit is an extended multi-dimensional Dirac equation, which can be further mapped to the Schr\"{o}dinger equation. We show in two ways that our DTQW is…
In this paper, we present a new space-time Petrov-Galerkin-like method. This method utilizes a mixed formulation of Tensor Train (TT) and Quantized Tensor Train (QTT), designed for the spectral element discretization (Q1-SEM) of the…
We propose a novel projection-based particle method for solving the McKean-Vlasov stochastic differential equations. Our approach is based on a projection-type estimation of the marginal density of the solution in each time step. The…
Spectral methods provide highly accurate numerical solutions for partial differential equations, exhibiting exponential convergence with the number of spectral nodes. Traditionally, in addressing time-dependent nonlinear problems, attention…
In this paper, we study the numerical schemes for the two-dimensional Fokker-Planck equation governing the probability density function of the tempered fractional Brownian motion. The main challenges of the numerical schemes come from the…
Continuous-time Markov chains associated to finite-volume discretization schemes of Fokker-Planck equations are constructed. Sufficient conditions under which quantitative exponential decay in the $\phi$-entropy and Wasserstein distance are…
We consider a generic and explicit tamed Euler--Maruyama scheme for multidimensional time-inhomogeneous stochastic differential equations with multiplicative Brownian noise. The diffusive coefficient is uniformly elliptic, H\"older…
In this paper, we will present advanced discretization methods for solving retarded potential integral equations. We employ a $C^{\infty}$-partition of unity method in time and a conventional boundary element method for the spatial…
We revisit the classical problem of approximating a stochastic differential equation by a discrete-time and discrete-space Markov chain. Our construction iterates Caratheodory's theorem over time to match the moments of the increments…
This paper points out that the differential quadrature (DQ) and differential cubature (DC) methods due to their global domain property are more efficient for nonlinear problems than the traditional numerical techniques such as finite…
We consider a Hidden Markov Model (HMM) where the integrated continuous-time Markov chain can be observed at discrete time points perturbed by a Brownian motion. The aim is to derive a filter for the underlying continuous-time Markov chain.…
The time-fractional Black-Scholes equation (TFBSE) is intended to price the options for which the underlying price fluctuates within a correlated fractal transmission system. Although the TFBSE is an influential approach for grasping the…
"Quantum trajectories" are solutions of stochastic differential equations also called Belavkin or Stochastic Schr\"odinger Equations. They describe random phenomena in quantum measurement theory. Two types of such equations are usually…
In this paper we study solutions to stochastic differential equations (SDEs) with discontinuous drift. We apply two approaches: The Euler-Maruyama method and the Fokker-Planck equation and show that a candidate density function based on the…
The waiting time distribution (WTD) is a common tool for analysing discrete stochastic processes in classical and quantum systems. However, there are many physical examples where the dynamics is continuous and only approximately discrete,…