Related papers: Integration by parts formula for killed processes:…

Inference for high-dimensional hidden Markov models is challenging due to the exponential-in-dimension computational cost of calculating the likelihood. To address this issue, we introduce an innovative composite likelihood approach called…

We prove an integration by parts formula on the law of the reflecting Brownian motion $X:=|B|$ in the positive half line, where $B$ is a standard Brownian motion. In other terms, we consider a perturbation of $X$ of the form $X^\epsilon =…

We consider a simple model of a bistable system under the influence of multiplicative noise. We provide a path integral representation of the overdamped Langevin dynamics and compute conditional probabilities and escape rates in the weak…

Approximate inference in high-dimensional, discrete probabilistic models is a central problem in computational statistics and machine learning. This paper describes discrete particle variational inference (DPVI), a new approach that…

In this work, we present some new integration formulas for any order of accuracy as an application of the B-spline relations obtained in [1]. The resulting rules are defined as a perturbation of the trapezoidal integration method. We prove…

Rendering algorithms typically integrate light paths over path space. However, integrating over this one unified space is not necessarily the most efficient approach, and we show that partitioning path space and integrating each of these…

Path integral Monte Carlo (PIMC) simulations have become an important tool for the investigation of the statistical mechanics of quantum systems. I discuss some of the history of applying the Monte Carlo method to non-relativistic quantum…

In the first part of this paper we study approximations of trajectories of Piecewise Deter-ministic Processes (PDP) when the flow is not explicit by the thinning method. We also establish a strong error estimate for PDPs as well as a weak…

Many fractional processes can be represented as an integral over a family of Ornstein-Uhlenbeck processes. This representation naturally lends itself to numerical discretizations, which are shown in this paper to have strong convergence…

An accurate method to compute enclosures of Abelian integrals is developed. This allows for an accurate description of the phase portraits of planar polynomial systems that are perturbations of Hamiltonian systems. As an example, it is…

Integrating a product of linear forms over the unit simplex can be done in polynomial time if the number of variables n is fixed (V. Baldoni et al., 2011). In this note, we highlight that this problem is equivalent to obtaining the…

In this article we consider the KPZ fixed point starting from a two-sided Brownian motion with an arbitrary diffusion coefficient. We apply the integration by parts formula from Malliavin calculus to establish a key relation between the…

The computation of the probability of the first-passage time through a given threshold of a stochastic process is a classic problem that appears in many branches of physics. When the stochastic dynamics is markovian, the probability admits…

We analyze multidimensional Markovian integral equations that are formulated with a time-inhomogeneous progressive Markov process that has Borel measurable transition probabilities. In the case of a path-dependent diffusion process, the…

Representations of branching Markov processes and their measure-valued limits in terms of countable systems of particles are constructed for models with spatially varying birth and death rates. Each particle has a location and a "level,"…

Computational procedures for the stationary probability distribution, the group inverse of the Markovian kernel and the mean first passage times of an irreducible Markov chain, are developed using perturbations. The derivation of these…

The Mellin transform is usually applied in probability theory to the product of independent random variables. In recent times the machinery of the Mellin transform has been adopted to describe the L\'evy stable distributions, and more…

We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theory, we are able to deduce closed-form solutions for…

We present a collocated-grid framework for Direct Numerical Simulations of polydisperse particles submerged in a viscous fluid. The fluid-particle forces are coupled with the Immersed Boundary Method (IBM) while the particle-particle forces…

A Monte Carlo method for simulating a multi-dimensional diffusion process conditioned on hitting a fixed point at a fixed future time is developed. Proposals for such diffusion bridges are obtained by superimposing an additional guiding…