Related papers: Efficient Low-Order Approximation of First-Passage…

Understanding the timing of the peak of a disease outbreak forms an important part of epidemic forecasting. In many cases, such information is essential for planning increased hospital bed demand and for designing of public health…

We study the first-passage time (FPT) problem for widespread recurrent processes in confined though large systems and present a comprehensive framework for characterizing the FPT distribution over many time scales. We find that the FPT…

This paper considers data-driven chance-constrained stochastic optimization problems in a Bayesian framework. Bayesian posteriors afford a principled mechanism to incorporate data and prior knowledge into stochastic optimization problems.…

Finding representative reaction pathways is necessary for understanding mechanisms of molecular processes, but is considered to be extremely challenging. We propose a new method to construct reaction paths based on mean first-passage times.…

We study the applicability of the {\it parallel tempering method} (PT) in the investigation of first- order phase transitions. In this method, replicas of the same system are simulated simultaneously at different temperatures and the…

First-order stochastic methods are the state-of-the-art in large-scale machine learning optimization owing to efficient per-iteration complexity. Second-order methods, while able to provide faster convergence, have been much less explored…

First-passage properties are central to the kinetics of target-search processes. Theoretical approaches so far primarily focused on predicting first-passage statistics for a given process or model. In practice, however, one faces the…

In biochemical reaction networks, the first passage time (FPT) of a reaction quantifies the time it takes for the reaction to first occur, from the initial state. While the mean FPT historically served as a summary metric, a far more…

In this paper we approximate the radiative transfer equations by the method of moments, constructing mesoscopic approximations of arbitrary order of the otherwise microscopic system. To define the necessary closure a minimum entropy…

We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the constraint that the distribution of the stopping time is a…

In the paper, we present a strategy for accelerating posterior inference for unknown inputs in time fractional diffusion models. In many inference problems, the posterior may be concentrated in a small portion of the entire prior support.…

We consider the boundary crossing problem for time-homogeneous diffusions and general curvilinear boundaries. Bounds are derived for the approximation error of the one-sided (upper) boundary crossing probability when replacing the original…

First-passage probability estimation of high-dimensional nonlinear stochastic systems is a significant task to be solved in many science and engineering fields, but remains still an open challenge. The present paper develops a novel…

We develop a one step matrix method in order to obtain approximate solutions of first order systems and non-linear ordinary differential equations, reducible to first order systems. We find a sequence of such solutions that converge to the…

We consider the following problem: from a given set of gene families trees on a set of genomes, find a first speciation, that splits these genomes into two subsets, that minimizes the number of gene duplications that happened before this…

We study a fully discrete finite element method for variable-order time-fractional diffusion equations with a time-dependent variable order. Optimal convergence estimates are proved with the first-order accuracy in time (and second order…

This paper deals with the problem of simulating dense dispersed systems composed by large numbers of particles undergoing ballistic aggregation. The most classical approaches for dealing with such problems are represented by the so-called…

Given a survival distribution on the positive half-axis and a Brownian motion, a solution of the inverse first-passage problem consists of a boundary so that the first passage time over the boundary has the given distribution. We show that…

We study the first-passage time, the distribution of the maximum, and the absorption probability of fractional Brownian motion of Hurst parameter $H$ with both a linear and a non-linear drift. The latter appears naturally when applying…

We consider a Markov process in continuous time with a finite number of discrete states. The time-dependent probabilities of being in any state of the Markov chain are governed by a set of ordinary differential equations, whose dimension…