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A continuous-time Markov chain rate change formula for simulation, model selection, filtering and theory is proven. It is used to develop Markov chain importance sampling, rejection sampling, branching particle filtering algorithms and…
A time-dependent finite-state Markov chain that uses doubly stochastic transition matrices, is considered. Entropic quantities that describe the randomness of the probability vectors, and also the randomness of the discrete paths, are…
This paper introduces a novel deep-learning-based approach for numerical simulation of a time-evolving Schr\"odinger equation inspired by stochastic mechanics and generative diffusion models. Unlike existing approaches, which exhibit…
Markov-modulated Brownian motion is a popular tool to model continuous-time phenomena in a stochastic context. The main quantity of interest is the invariant density, which satisfies a differential equation associated with the quadratic…
The probability density function (PDF) of a random variable associated with the solution of a partial differential equation (PDE) with random parameters is approximated using a truncated series expansion. The random PDE is solved using two…
Density tempering (also called density annealing) is a sequential Monte Carlo approach to Bayesian inference for general state models; it is an alternative to Markov chain Monte Carlo. When applied to state space models, it moves a…
Frequency-dependent correlations, such as the spectral function and the dynamical structure factor, help understand condensed matter experiments. Within the density matrix renormalization group (DMRG) framework, an accurate method for…
We develop clustering procedures for longitudinal trajectories based on a continuous-time hidden Markov model (CTHMM) and a generalized linear observation model. Specifically in this paper, we carry out finite and infinite mixture…
We obtain the finite-temperature unconditional master equation of the density matrix for two coupled quantum dots (CQD) when one dot is subjected to a measurement of its electron occupation number using a point contact (PC). To determine…
A new approach to the steady state detection in the uniformization method of solving continuous time Markov chains is introduced. The method is particularly useful in solving inhomogenous CTMC's in multiple steps, where the desired error…
A Stochastic Control Problem can be solved by Dynamic Programming or Distributed Optimal Control with the Kolmogorov equation for the probability density of the Markov process of the problem. It can be solved also with Supervised Learning.…
Discontinuous Galerkin (DG) methods for solving elliptic equations are gaining popularity in the computational physics community for their high-order spectral convergence and their potential for parallelization on computing clusters.…
This paper considers the numerical treatment of the time-dependent Gross-Pitaevskii equation. In order to conserve the time invariants of the equation as accurately as possible, we propose a Crank-Nicolson-type time discretization that is…
Dynamic time warping (DTW) plays an important role in analytics on time series. Despite the large body of research on speeding up univariate DTW, the method for multivariate DTW has not been improved much in the last two decades. The most…
Computational methods for fractional differential equations exhibit essential instability. Even a minor modification of the coefficients or other entry data may switch good results to the divergent. The goal of this paper is to suggest the…
This paper discusses the computation of derivatives for optimization problems governed by linear hyperbolic systems of partial differential equations (PDEs) that are discretized by the discontinuous Galerkin (dG) method. An efficient and…
This work presents a structure-preserving, high-order, unconditionally stable numerical method for approximating the solution to the Fisher-Kolmogorov equation on polytopic meshes, with a particular focus on its application in simulating…
We study the estimation of the value function for continuous-time Markov diffusion processes using a single, discretely observed ergodic trajectory. Our work provides non-asymptotic statistical guarantees for the least-squares…
Motivated by applications in systems biology, we seek a probabilistic framework based on Markov processes to represent intracellular processes. We review the formal relationships between different stochastic models referred to in the…
We introduce a novel spatio-temporal discretization for nonlinear Fokker-Planck equations on the multi-dimensional unit cube. This discretization is based on two structural properties of these equations: the first is the representation as a…