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This paper explores the use of a discrete singular convolution algorithm as a unified approach for numerical integration of the Fokker-Planck equation. The unified features of the discrete singular convolution algorithm are discussed. It is…
This paper investigates longtime behaviors of the $\theta$-Euler-Maruyama method for the stochastic functional differential equation with superlinearly growing coefficients. We focus on the longtime convergence analysis in mean-square sense…
In this paper we prove the Wong-Zakai approximation of probability density functions of solutions at a fixed time of rough differential equations driven by fractional Brownian rough path with Hurst parameter $H$ $(1/4 <H \leq 1/2)$. Besides…
We propose a method to sample stationary properties of solutions of stochastic differential equations, which is accurate and efficient if there are rarely visited regions or rare transitions between distinct regions of the state space. The…
Stochastic spectral methods are efficient techniques for uncertainty quantification. Recently they have shown excellent performance in the statistical analysis of integrated circuits. In stochastic spectral methods, one needs to determine a…
Hybrid stochastic differential equations are a useful tool to model continuously varying stochastic systems which are modulated by a random environment that may depend on the system state itself. In this paper, we establish the pathwise…
In the critical task of making generative models trustworthy and robust, methods for Uncertainty Quantification (UQ) have begun to show encouraging potential. However, many of these methods rely on rigid heuristics that fail to generalize…
We propose a new algorithm to approach weakly the solution of a McKean-Vlasov SDE. Based on the cubature method of Lyons and Victoir 2004, the algorithm is deterministic differing from the the usual methods based on interacting particles.…
The Quantum-Electrodynamical Time-Dependent Density Functional Theory (QED-TDDFT) equations are solved by time propagating the wave function on a tensor product of a Fock-space and real-space grid. Applications for molecules in cavities…
The problem of a spatially discontinuous diffusion coefficient ($D(\boldsymbol x)$) is one that may be encountered in hydrogeologic systems due to natural geological features or as a consequence of numerical discretization of flow…
A high-accuracy time discretization is discussed to numerically solve the nonlinear fractional diffusion equation forced by a space-time white noise. The main purpose of this paper is to improve the temporal convergence rate by modifying…
We propose a new \textit{quadratic programming-based} method of approximating a nonstandard density using a multivariate Gaussian density. Such nonstandard densities usually arise while developing posterior samplers for unobserved…
Physical laws governing population dynamics are generally expressed as differential equations. Research in recent decades has incorporated fractional-order (non-integer) derivatives into differential models of natural phenomena, such as…
Convergence rate analysis for general state-space Markov chains is fundamentally important in areas such as Markov chain Monte Carlo and algorithmic analysis (for computing explicit convergence bounds). This problem, however, is notoriously…
We develop a quadratic regularization approach for the solution of high-dimensional multistage stochastic optimization problems characterized by a potentially large number of time periods/stages (e.g. hundreds), a high-dimensional resource…
Inspired by the truncated Euler-Maruyama method developed in Mao (J. Comput. Appl. Math. 2015), we propose the truncated Milstein method in this paper. The strong convergence rate is proved to be close to 1 for a class of highly non-linear…
We propose a fully discrete finite volume scheme for the standard Fokker-Planck equation. The space discretization relies on the well-known square-root approximation, which falls into the framework of two-point flux approximations. Our time…
Density Functional Theory (DFT) accurately predicts the quantum chemical properties of molecules, but scales as $O(N_{\text{electrons}}^3)$. Sch\"utt et al. (2019) successfully approximate DFT 1000x faster with Neural Networks (NN).…
We examine the challenges associated with numerical integration when applying Neural Networks to solve Partial Differential Equations (PDEs). We specifically investigate the Deep Ritz Method (DRM), chosen for its practical applicability and…
In this paper, we propose a new time-aware dissimilarity measure that takes into account the temporal dimension. Observations that are close in the description space, but distant in time are considered as dissimilar. We also propose a…