Related papers: Wiener-Hermite Polynomial Expansion for Multivaria…

The article is devoted to the expansions of iterated Ito stochastic integrals based on generalized multiple Fourier series converging in the sense of norm in the space $L_2([t, T]^k),$ $k\in\mathbb{N}.$ The method of generalized multiple…

We reconsider the problem of calculating a general spectral correlation function containing an arbitrary number of products and ratios of characteristic polynomials for a N x N random matrix taken from the Gaussian Unitary Ensemble (GUE).…

This paper is devoted to the study of general (Laurent) polynomial modifications of moment functionals on the unit circle, i.e., associated with hermitian Toeplitz matrices. We present a new approach which allows us to study polynomial…

Implementations of Markov chain Monte Carlo (MCMC) methods need to confront two fundamental challenges: accurate representation of prior information and efficient evaluation of likelihoods. Principal component analysis (PCA) and related…

Consider $N\times N$ Hermitian or symmetric random matrices $H$ where the distribution of the $(i,j)$ matrix element is given by a probability measure $\nu_{ij}$ with a subexponential decay. Let $\sigma_{ij}^2$ be the variance for the…

We study a generalized notion of a homogeneous skew-product extension of a probability-preserving system in which the homogeneous space fibres are allowed to vary over the ergodic decomposition of the base. The construction of such…

Skew orthogonal polynomials arise in the calculation of the $n$-point distribution function for the eigenvalues of ensembles of random matrices with orthogonal or symplectic symmetry. In particular, the distribution functions are completely…

In quantum estimation for a $d$-parameter family of density operators on a finite-dimensional Hilbert space $\mathcal{H}$, an estimator is specified by a pair $\left(M,\hat{\theta}\right)$, where $M$ is a POVM with a finite outcome set…

By formulating the inverse problem of partial differential equations (PDEs) as a statistical inference problem, the Bayesian approach provides a general framework for quantifying uncertainties. In the inverse problem of PDEs, parameters are…

We propose an efficient and easy-to-implement gradient-enhanced least squares Monte Carlo method for computing price and Greeks (i.e., derivatives of the price function) of high-dimensional American options. It employs the sparse Hermite…

In this paper, a modified formulation of generalized probabilistic theories that will always give rise to the structure of Hilbert space of quantum mechanics, in any finite outcome space, is presented and the guidelines to how to extend…

For complex Wigner-type matrices, i.e. Hermitian random matrices with independent, not necessarily identically distributed entries above the diagonal, we show that at any cusp singularity of the limiting eigenvalue distribution the local…

We consider the numerical approximation of different ordinary differential equations (ODEs) and partial differential equations (PDEs) with periodic boundary conditions involving a one-dimensional random parameter, comparing the intrusive…

There has been a surge of interest in uncertainty quantification for parametric partial differential equations (PDEs) with Gevrey regular inputs. The Gevrey class contains functions that are infinitely smooth with a growth condition on the…

Consider $F$ an element of the $p$-th Wiener chaos $\WW_p$, and denote by $\prob_F$ its law. For a positive integer $m$, let $\boldsymbol{\gamma}_{F,m}$ be the Radon measure with density $x \mapsto \frac{e^{-x^2/2}}{\sqrt{2\pi}} \left(1 +…

Powerful array-based single-nucleotide polymorphism--typing platforms have recently heralded a new era in which genome-wide studies are conducted with increasing frequency. A genetic polymorphism associated with population pharmacokinetics…

Multivariable generalizations of the classical Hermite, Laguerre and Jacobi polynomials occur as the polynomial part of the eigenfunctions of certain Schr\"odinger operators for Calogero-Sutherland-type quantum systems. For the generalized…

This paper is devoted to the numerical analysis of the Hermite spectral method proposed in [14], which provides, in the semiclassical limit, an asymptotic preserving approximation of the von Neumann equation. More precisely, it relies on…

This paper explores the Prouhet-Tarry-Escott problem (PTE), the Generalized PTE problem (GPTE), and the Fermat form of Generalized PTE problem (FPTE). The GPTE problem extends the PTE problem by allowing different sets of exponents, while…

The effective formulas reducing the two-dimensional Hermite polynomials to the classical (one-dimensional) orthogonal polynomials are given. New one-parameter generating functions for these polynomials are derived. Asymptotical formulas for…