Related papers: Theoretical properties of quasi-stationary Monte C…

Classically, the continuous-time Langevin diffusion converges exponentially fast to its stationary distribution $\pi$ under the sole assumption that $\pi$ satisfies a Poincar\'e inequality. Using this fact to provide guarantees for the…

In particle-based algorithms, the effect of binary collisions is commonly described in a statistical way, using Monte Carlo techniques. It is shown that, in the relativistic regime, stringent constraints should be considered on the sampling…

In this paper, we study the quasi-stationary behavior of the one-dimensional diffusion process with a regular or exit boundary at 0 and an entrance boundary at $\infty$. By using the Doob's $h$-transform, we show that the conditional…

Sequential Monte Carlo samplers represent a compelling approach to posterior inference in Bayesian models, due to being parallelisable and providing an unbiased estimate of the posterior normalising constant. In this work, we significantly…

The class of $\alpha$-stable distributions enjoys multiple practical applications in signal processing, finance, biology and other areas because it allows to describe interesting and complex data patterns, such as asymmetry or heavy tails,…

We study the coupled two-species non-equilibrium reaction-controlled diffusion model introduced by Trimper et al. [Phys. Rev. E 62, 6071 (2000)] by means of detailed Monte Carlo simulations in one and two dimensions. Particles of type A may…

We prove limit theorems for functionals of a Poisson point process using the Malliavin calculus on the Poisson space. The target distribution is conditionally either a Gaussian vector or a Poisson random variable. The convergence is stable…

We study, through the diffusion Monte Carlo method, a spin one-half fermion fluid, in the three dimensional Euclidean space, at zero temperature. The point particles, immersed in a uniform "neutralizing" background, interact with a…

Quasi-Monte Carlo methods replaced classical Monte Carlo methods in many areas of numerical analysis over the last decades. The purpose of this paper is to extend quasi-Monte Carlo methods into a new direction. We construct and implement a…

We review recent developments in non-perturbative field theory using modal field methods. We discuss Monte Carlo results as well as a new diagonalization technique known as the quasi-sparse eigenvector method.

We develop a quasilinear theory of the Vlasov equation in order to describe the approach of systems with long-range interactions to quasi-stationary states. We derive a diffusion equation governing the evolution of the velocity distribution…

We introduce Monte Carlo methods to compute the solution of elliptic equations with pure Neumann boundary conditions. We first prove that the solution obtained by the stochastic representation has a zero mean value with respect to the…

Monte Carlo simulations of diffusion processes often introduce bias in the final result, due to time discretization. Using an auxiliary Poisson process, it is possible to run simulations which are unbiased. In this article, we propose such…

The first aim of the present note is to quantify the speed of convergence of a conditioned process toward its Q-process under suitable assumptions on the quasi-stationary distribution of the process. Conversely, we prove that, if a…

We obtain a closed-form formula for the quasi-stationary distribution of the classical Shiryaev martingale diffusion considered on the positive half-line $[A,+\infty)$ with $A>0$ fixed; the state space's left endpoint is assumed to be the…

The new numerical version of the Wigner approach to quantum mechanics for treatment thermodynamic properties of strongly coupled systems of particles has been developed for extreme conditions, when analytical approximations obtained in…

The need to calibrate increasingly complex statistical models requires a persistent effort for further advances on available, computationally intensive Monte Carlo methods. We study here an advanced version of familiar Markov Chain Monte…

We consider general Markov processes with absorption and provide criteria ensuring the exponential convergence in total variation of the distribution of the process conditioned not to be absorbed. The first one is based on two-sided…

Starting from the probability distribution of finite N-body systems, which maximises the Havrda--Charv\'at entropy, we build a Stein-type goodness-of-fit test. The Maxwell--Boltzmann distribution is exact only in the thermodynamic limit,…

Using a common technique for approximating distributions [generalized functions], we are able to use standard Monte Carlo methods to compute QFT quantities in Minkowski spacetime, under phase transitions, or when dealing with coalescing…