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We provide a probabilistic analysis of the upwind scheme for multi-dimensional transport equations. We associate a Markov chain with the numerical scheme and then obtain a backward representation formula of Kolmogorov type for the numerical…
Some mathematical models of applied problems lead to the need of solving boundary value problems with a fractional power of an elliptic operator. In a number of works, approximations of such a nonlocal operator are constructed on the basis…
This paper focuses on the estimation of partially observed branching processes. First, the estimators from a frequentist perspective proposed in the literature are reviewed. The main objective of this paper is to present computational tools…
A discrete formulation of the real-time path integral as the expectation value of a functional of paths with respect to a complex probability on a sample space of discrete valued paths is explored. The formulation in terms of complex…
Sampling from log-concave distributions is a well researched problem that has many applications in statistics and machine learning. We study the distributions of the form $p^{*}\propto\exp(-f(x))$, where…
BIC criterion is widely used by the neural-network community for model selection tasks, although its convergence properties are not always theoretically established. In this paper we will focus on estimating the number of components in a…
Estimation of parameters of a diffusion based on discrete time observations poses a difficult problem due to the lack of a closed form expression for the likelihood. From a Bayesian computational perspective it can be casted as a missing…
We propose a general method for distributed Bayesian model choice, using the marginal likelihood, where a data set is split in non-overlapping subsets. These subsets are only accessed locally by individual workers and no data is shared…
Direct comparisons of diffusive particle acceleration numerical simulations have been made against Monte Carlo and hybrid plasma simulations by Ellison {\it et. al.} (1993) and against observations at the earth's bow shock presented by…
Stochastic quantization in physics has been considered to provide a path integral representation of a probability distribution for Ito processes. It has been indicated that the stochastic quantization can involve a potential term, if the…
In the following article we provide an exposition of exact computational methods to perform parameter inference from partially observed network models. In particular, we consider the duplication attachment (DA) model which has a likelihood…
Convection-diffusion equation is used to describe particle migration process in many fields, while it is proposed based on the empirical Fick's law. In this paper, with the help of the percolation model, we theoretically investigate the…
In this paper, we present a splitting algorithm to solve multicomponent transport models. These models are related to plasma simulations, in which we consider the local thermodynamic equilibrium and weakly ionised plasma-mixture models that…
We study semi-linear elliptic PDEs with polynomial non-linearity and provide a probabilistic representation of their solution using branching diffusion processes. When the non-linearity involves the unknown function but not its derivatives,…
We investigate piecewise deterministic Markov processes (PDMP), where the deterministic dynamics follows a scalar conservation law and random jumps in the system are characterized by changes in the flux function. We show under which…
Weinberg (2012) described a constructive algorithm for computing the marginal likelihood, Z, from a Markov chain simulation of the posterior distribution. Its key point is: the choice of an integration subdomain that eliminates subvolumes…
The study of distributed order calculus usually concerns about fractional derivatives of the form $\int_0^1 \partial^\alpha u \, m(d\alpha)$ for some measure $m$, eventually a probability measure. In this paper an approach based on L\'evy…
This paper studies various notions of approximate probabilistic bisimulation on labeled Markov chains (LMCs). We introduce approximate versions of weak and branching bisimulation, as well as a notion of $\varepsilon$-perturbed bisimulation…
This paper is devoted to parameter estimation for partially observed polynomial state space models. This class includes discretely observed affine or more generally polynomial Markov processes. The polynomial structure allows for the…
The estimation of absorption time distributions of Markov jump processes is an important task in various branches of statistics and applied probability. While the time-homogeneous case is classic, the time-inhomogeneous case has recently…