Related papers: Exact simulation of extrinsic stress-release proce…
We consider the task of generating draws from a Markov jump process (MJP) between two time-points at which the process is known. Resulting draws are typically termed bridges and the generation of such bridges plays a key role in…
We address a specific but recurring problem related to sampled linear systems. In particular, we provide a numerical method for the rigorous verification of constraint satisfaction for linear continuous-time systems between sampling…
This is an expository review paper illustrating the ``martingale method'' for proving many-server heavy-traffic stochastic-process limits for queueing models, supporting diffusion-process approximations. Careful treatment is given to an…
We develop a systematic procedure to approximate generalized free energy in out of equilibrium stochastic systems. The procedure only requires knowledge of the averages of macroscopic observables and uses quasi-equilibrium distribution to…
An introduction to the Propp-Wilson method of coupling-from-the-past for the Ising model is presented. It enables one to obtain exact samples from the equilibrium spin distribution for ferromagnetic interactions. Both uniform and random…
In this paper, we consider the composition of two independent processes : one process corresponds to position and the other one to time. Such processes will be called iterated processes. We first propose an algorithm based on the Euler…
The evolution of a continuous time Markov process with a finite number of states is usually calculated by the Master equation - a linear differential equations with a singular generator matrix. We derive a general method for reducing the…
Stochastic differential equations (SDEs) or diffusions are continuous-valued continuous-time stochastic processes widely used in the applied and mathematical sciences. Simulating paths from these processes is usually an intractable problem,…
Using the concept of self-decomposable subordinators introduced in Gardini et al. [11], we build a new bivariate Normal Inverse Gaussian process that can capture stochastic delays. In addition, we also develop a novel path simulation scheme…
We study a technique for verification of stress and pressure computations on boundaries in flow simulations. We utilize existing experiments to provide validation of the simulations. We show that this approach can reveal critical flaws in…
Hydroclimatic processes are characterized by heterogeneous spatiotemporal correlation structures and marginal distributions that can be continuous, mixed-type, discrete or even binary. Simulating exactly such processes can greatly improve…
A recently proposed method for computer simulations in the isothermal-isobaric (NPT) ensemble, based on Langevin-type equations of motion for the particle coordinates and the ``piston'' degree of freedom, is re-derived by straightforward…
A central task in many applications is reasoning about processes that change over continuous time. Continuous-Time Bayesian Networks is a general compact representation language for multi-component continuous-time processes. However, exact…
We give an explicit representation for the transition law of a tempered stable Ornstein-Uhlenbeck process and use it to develop a rejection sampling algorithm for exact simulation of increments from this process. Our results apply to…
Diffusion processes arise in many fields, and so simulating the path of a diffusion is an important problem. It is usually necessary to make some sort of approximation via model-discretization, but a recently introduced class of algorithms,…
Markov jump processes (or continuous-time Markov chains) are a simple and important class of continuous-time dynamical systems. In this paper, we tackle the problem of simulating from the posterior distribution over paths in these models,…
The existence of global-in-time bounded martingale solutions to a general class of cross-diffusion systems with multiplicative Stratonovich noise is proved. The equations describe multicomponent systems from physics or biology with…
The discrete class algorithm presented in this paper is an efficient simulation tool for stochastic processes governed by a reasonably small set of transition rates. The algorithm is presented, its performance compared to prevailing methods…
We introduce a general formulation for an implicit equation-free method in the setting of slow-fast systems. First, we give a rigorous convergence result for equation-free analysis showing that the implicitly defined coarse-level time…
We present a method based on optimal transport to remove arbitrage opportunities within a finite set of option prices. The method is notably intended for regulatory stress-tests, which require applying significant local distortions to…