Related papers: Sparse Monte Carlo method for nonlocal diffusion p…
We consider the problem of Bayesian estimation of static parameters associated to a partially and discretely observed diffusion process. We assume that the exact transition dynamics of the diffusion process are unavailable, even up-to an…
In this paper, we consider a class of discontinuous Galerkin (DG) methods for one-dimensional nonlocal diffusion (ND) problems. The nonlocal models, which are integral equations, are widely used in describing many physical phenomena with…
We propose a novel sequential Monte Carlo (SMC) method for sampling from unnormalized target distributions based on a reverse denoising diffusion process. While recent diffusion-based samplers simulate the reverse diffusion using…
In this article we consider Bayesian estimation of static parameters for a class of partially observed McKean-Vlasov diffusion processes with discrete-time observations over a fixed time interval. This problem features several obstacles to…
Numerical simulation of flow problems and wave propagation in heterogeneous media has important applications in many engineering areas. However, numerical solutions on the fine grid are often prohibitively expensive, and multiscale model…
The effective, fast transport of matter through porous media is often characterized by complex dispersion effects. To describe in mathematical terms such situations, instead of a simple macroscopic equation (as in the classical Darcy's…
A recent line of research has exploited pre-trained generative diffusion models as priors for solving Bayesian inverse problems. We contribute to this research direction by designing a sequential Monte Carlo method for linear-Gaussian…
This article presents a novel and practically useful link between geometric integration, low-discrepancy sampling and code coupling for Lagrangian and Eulerian Vlasov-Poisson solvers. Low-discrepancy sequences, also called quasi-random…
We present a new efficient method for Monte Carlo simulations of diffusion-reaction processes. First introduced by us in [Phys. Rev. Lett., 97:230602, 2006], the new algorithm skips the traditional small diffusion hops and propagates the…
The present work provides a critical assessment of numerical solutions of the space-fractional diffusion-advection equation, which is of high significance for applications in various natural sciences. In view of the fact that, in contrast…
Over the last few years there have been dramatic advances in our understanding of mathematical and computational models of complex systems in the presence of uncertainty. This has led to a growth in the area of uncertainty quantification as…
The problem of identifying the diffusion parameter appearing in a nonlocal steady diffusion equation is considered. The identification problem is formulated as an optimal control problem having a matching functional as the objective of the…
We propose a novel numerical approach for nonlocal diffusion equations [8] with integrable kernels, based on the relationship between the backward Kolmogorov equation and backward stochastic differential equations (BSDEs) driven by L\`{e}vy…
We consider the initial/boundary value problem for the fractional diffusion and diffusion-wave equations involving a Caputo fractional derivative in time. We develop two "simple" fully discrete schemes based on the Galerkin finite element…
The standard Kernel Quadrature method for numerical integration with random point sets (also called Bayesian Monte Carlo) is known to converge in root mean square error at a rate determined by the ratio $s/d$, where $s$ and $d$ encode the…
Stochastic Galerkin methods offer unexplored potential for the numerical simulation of parabolic problems with random variables, in particular if they are combined with variational discretizations of the space and time variables. Due to the…
We numerically address the stability analysis of linear age-structured population models with nonlocal diffusion, which arise naturally in describing dynamics of infectious diseases. Compared to Laplace diffusion, models with nonlocal…
We propose and analyze a time-stepping discontinuous Petrov-Galerkin method combined with the continuous conforming finite element method in space for the numerical solution of time-fractional subdiffusion problems. We prove the existence,…
We propose a piecewise-linear, time-stepping discontinuous Galerkin method to solve numerically a time fractional diffusion equation involving Caputo derivative of order $\mu\in (0,1)$ with variable coefficients. For the spatial…
We consider the initial/boundary value problem for a diffusion equation involving multiple time-fractional derivatives on a bounded convex polyhedral domain. We analyze a space semidiscrete scheme based on the standard Galerkin finite…