Related papers: A Feynman-kac Formula Approach for Computing Expec…
Probabilistic solutions of the so called Schr\"{o}dinger boundary data problem provide for a unique Markovian interpolation between any two strictly positive probability densities designed to form the input-output statistics data for the…
The dynamical transition occurring in spin-glass models with one step of Replica-Symmetry-Breaking is a mean-field artifact that disappears in finite systems and/or in finite dimensions. The critical fluctuations that smooth the transition…
The growth-fragmentation equation describes a system of growing and dividing particles, and arises in models of cell division, protein polymerisation and even telecommunications protocols. Several important questions about the equation…
While accurate simulations of dense gas flows far from the equilibrium can be achieved by Direct Simulation adapted to the Enskog equation, the significant computational demand required for collisions appears as a major constraint. In order…
We introduce a path sampling method for obtaining statistical properties of an arbitrary stochastic dynamics. The method works by decomposing a trajectory in time, estimating the probability of satisfying a progress constraint, modifying…
In this paper, we use the theory of symmetric Dirichlet forms to derive Feynman-Kac formulae for the forward problem of electrical impedance tomography with possibly anisotropic, merely measurable conductivities corresponding to different…
The paper is devoted to the construction of a probabilistic particle algorithm. This is related to nonlin-ear forward Feynman-Kac type equation, which represents the solution of a nonconservative semilinear parabolic Partial Differential…
We consider partial differential equations (PDEs) characterized by an upper barrier that depends on the solution itself and a fixed lower barrier, while accommodating a non-local driver. First, we show a Feynman-Kac representation for the…
We consider a Markov process on a Riemannian manifold, which solves a stochastic differential equation in the interior of the manifold and jumps according to a deterministic reset map when it reaches the boundary. We derive a partial…
In this work we study the numerical approximation of a class of ergodic Backward Stochastic Differential Equations. These equations are formulated in an infinite horizon framework and provide a probabilistic representation for elliptic…
The escape probability is a deterministic concept that quantifies some aspects of stochastic dynamics. This issue has been investigated previously for dynamical systems driven by Gaussian Brownian motions. The present work considers escape…
This paper formulates a variational approach for treating observational uncertainty and/or computational model errors as stochastic transport in dynamical systems governed by action principles under nonholonomic constraints. For this…
The developments over the last five decades concerning numerical discretisations of the incompressible Navier--Stokes equations have lead to reliable tools for their approximation: those include stable methods to properly address the…
In this paper we present a novel, closed three-dimensional (3D) random vortex dynamics system, which is equivalent to the Navier--Stokes equations for incompressible viscous fluid flows. The new random vortex dynamics system consists of a…
The problem of noise-induced escape from a metastable state arises in physics, chemistry, biology, systems engineering, and other areas. The problem is well understood when the underlying dynamics of the system obey detailed balance. When…
Identification of nonlinear dynamical systems is crucial across various fields, facilitating tasks such as control, prediction, optimization, and fault detection. Many applications require methods capable of handling complex systems while…
Stochastic thermodynamics is the field of study relating fluctuations in stochastic systems to thermodynamic quantities. The total entropy production (EP), is central to the thermodynamic classification of systems. Non-equilibrium systems…
Non-smooth dynamics driven by stochastic disturbance arise in a wide variety of engineering problems. Impulsive interventions are often employed to control stochastic systems; however, the modeling and analysis subject to execution delay…
We develop a non-empirical scheme to search for the minimum-energy escape paths from the minima of the potential surface to unknown saddle points nearby. A stochastic algorithm is constructed to move the walkers up the surface through the…
For the particles undergoing the anomalous diffusion with different waiting time distributions for different internal states, we derive the Fokker-Planck and Feymann-Kac equations, respectively, describing positions of the particles and…