Related papers: Semi-implicit Euler-Maruyama approximation for non…
We obtain approximations for the CDM particle trajectories starting from Lagrangian Perturbation Theory. These estimates for the CDM trajectories result in approximations for the density in real and redshift space, as well as for the…
A system of one-dimensional Brownian motions (BMs) conditioned never to collide with each other is realized as (i) Dyson's BM model, which is a process of eigenvalues of hermitian matrix-valued diffusion process in the Gaussian unitary…
The stochastic logistic model with regime switching is an important model in the ecosystem. While analytic solution to this model is positive, current numerical methods are unable to preserve such boundaries in the approximation. So,…
We describe kinetic simulations of transient problems in partially ionized weakly-collisional plasma around spherical bodies absorbing or emitting charged particles. Numerical solutions of kinetic equations for electrons and ions in 1D2V…
Consider a system of interacting particles indexed by the nodes of a graph whose vertices are equipped with marks representing parameters of the model such as the environment or initial data. Each particle takes values in a countable state…
In this paper, we describe a novel application of sigma-point methods to continuous-discrete filtering. In principle, the nonlinear continuous- discrete filtering problem can be solved exactly. In practice, the solution contains terms that…
For a class of interacting particle systems in continuous space, we show that finite-volume approximations of the bulk diffusion matrix converge at an algebraic rate. The models we consider are reversible with respect to the Poisson…
We discuss a system of stochastic differential equations with a stiff linear term and additive noise driven by fractional Brownian motions (fBms) with Hurst parameter H>1/2, which arise e. g., from spatial approximations of stochastic…
We study the long-range asymptotic behavior for an out-of-equilibrium countable one-dimensional system of Brownian particles interacting through their rank-dependent drifts. Focusing on the semi-infinite case, where only the leftmost…
Consider non-intersecting Brownian motions on the real line, starting from the origin at t=0, with a number of particles forced to reach p distinct target points at time t=1. This work shows that the transition probability, that is the…
We establish diffusion and fractional Brownian motion approximations for motions in a Markovian Gaussian random field with a nonzero mean.
In this paper we consider a system of $N$ particles on the real line evolving according to Newton's law, interacting through a singular (repulsive) force deriving from the potential $\frac{|x|^{1-\alpha}}{1-\alpha}$ with $\alpha \in…
By studying a system of Brownian particles, interacting only through a local social-like force (velocity alignment), we show that self-propulsion is not a necessary feature for the flocking transition to take place as long as underdamped…
We consider a system of N nonrelativistic particles of spin 1/2 interacting with the quantized Maxwell field (mass zero and spin one) in the limit when the particles have a small velocity, imposing to the interaction an ultraviolet cutoff,…
We study approximations of evolving probability measures by an interacting particle system. The particle system dynamics is a combination of independent Markov chain moves and importance sampling/resampling steps. Under global regularity…
We consider Brownian motions with one-sided collisions, meaning that each particle is reflected at its right neighbour. For a finite number of particles a Sch\"{u}tz-type formula is derived for the transition probability. We investigate an…
Let (S(t)) be a one-parameter family S = (S(t)) of positive integral operators on a locally compact space L. For a possibly non-uniform partition of [0,1] define a measure on the path space C([0,1],L) by using a) S(dt) for the transition…
We derive the stationary probability distribution for a non-equilibrium system composed by an arbitrary number of degrees of freedom that are subject to Gaussian colored noise and a conservative potential. This is based on a…
This paper is concerned with the approximation of the compressible Euler equations supplemented with an arbitrary or tabulated equation of state. The proposed approximation technique is robust, formally second-order accurate in space,…
In this paper, we establish the theory of chaos propagation and propose an Euler-Maruyama scheme for McKean-Vlasov stochastic differential equations driven by fractional Brownian motion with Hurst exponent $H \in (0,1)$. Meanwhile, upper…