Related papers: Exact simulation of coupled Wright-Fisher diffusio…

We propose simple methods for multivariate diffusion bridge simulation, which plays a fundamental role in simulation-based likelihood and Bayesian inference for stochastic differential equations. By a novel application of classical coupling…

An efficient numerical algorithm is presented for massively parallel simulations of dispersion-managed wavelength-division-multiplexed optical fiber systems. The algorithm is based on a weak nonlinearity approximation and independent…

This paper presents a rigorous theoretical convergence analysis of the Wirtinger Flow (WF) algorithm for Poisson phase retrieval, a fundamental problem in imaging applications. Unlike prior analyses that rely on truncation or additional…

We develop a global and hierarchical scheme for the forward Kolmogorov (Fokker-Planck) equation of the diffusion approximation of the Wright-Fisher model of population genetics. That model describes the random genetic drift of several…

In this paper we outline methodology to efficiently simulate (jump) diffusion bridge sample paths without discretisation error. We achieve this by considering the simulation of conditioned (jump) diffusion bridge sample paths in light of…

We describe an exact simulation algorithm for the increments of Brownian motion on a sphere of arbitrary dimension, based on the skew-product decomposition of the process with respect to the standard geodesic distance. The radial process is…

We introduce a new class of nonparametric prior distributions on the space of continuously varying densities, induced by Dirichlet process mixtures which diffuse in time. These select time-indexed random functions without jumps, whose…

We introduce a multi-allele Wright-Fisher model with non-recurrent, reversible mutation and directional selection. In this setting, the allele frequencies at a single locus track the path of a hybrid jump-diffusion process with state space…

Single-file diffusion refers to the motion of diffusive particles in narrow channels, so that they cannot bypass each other. This constraint leads to the subdiffusion of a tagged particle, called the tracer. This anomalous behaviour results…

The Wright-Fisher (W-F) diffusion model serves as a foundational framework for interpreting population evolution through allele frequency dynamics over time. Despite the known transition probability between consecutive generations, an exact…

In this paper, we deal with distributed estimation problems in diffusion networks with heterogeneous nodes, i.e., nodes that either implement different adaptive rules or differ in some other aspect such as the filter structure or length, or…

The G-Wishart distribution is the conjugate prior for precision matrices that encode the conditional independencies of a Gaussian graphical model. While the distribution has received considerable attention, posterior inference has proven…

The two-parameter Poisson--Dirichlet diffusion, introduced in 2009 by Petrov, extends the infinitely-many-neutral-alleles diffusion model, related to Kingman's one-parameter Poisson--Dirichlet distribution and to certain Fleming--Viot…

We present a simulation algorithm that accurately propagates a molecule pair using large time steps without the need to invoke the full exact analytical solutions of the Smoluchowski diffusion equation. Because the proposed method only uses…

Simulations are made of a probe particle diffusing through a complex fluid. Probe particle motions are described by the Mori-Zwanzig equation and Mori's orthogonal hierarchy of random forces scheme, subject to the approximation that the…

Implementing multicomponent diffusion models in reacting-flow simulations is computationally expensive due to the challenges involved in calculating diffusion coefficients. Instead, mixture-averaged diffusion treatments are typically used…

Accurate and efficient prediction of three-dimensional (3D) fields in wave interactions with large, complex-shaped objects is essential for applications in electromagnetic computation, computer graphics, optical metrology, and freeform…

We present a novel algorithm for dynamic routing with dedicated path protection which, as the presented simulation results suggest, can be efficient and exact. We present the algorithm in the setting of optical networks, but it should be…

Recent advances in powerful pre-trained diffusion models encourage the development of methods to improve the sampling performance under well-trained diffusion models. This paper introduces Diffusion Rejection Sampling (DiffRS), which uses a…

We apply diffusion strategies to develop a fully-distributed cooperative reinforcement learning algorithm in which agents in a network communicate only with their immediate neighbors to improve predictions about their environment. The…