Related papers: A pathwise parameterisation for stochastic transpo…
Both the porous medium equation and the system of isentropic Euler equations can be considered as steepest descents on suitable manifolds of probability measures in the framework of optimal transport theory. By discretizing these…
Devising optimal interventions for constraining stochastic systems is a challenging endeavour that has to confront the interplay between randomness and nonlinearity. Existing methods for identifying the necessary dynamical adjustments…
We study an optimal transportation approach for recovering parameters in dynamical systems with a single smoothly varying attractor. We assume that the data is not sufficient for estimating time derivatives of state variables but enough to…
A resolution-independent data-driven stochastic parametrization method for subgrid-scale processes in coarsened fluid descriptions is proposed. The method enables the inclusion of high-fidelity data into the coarsened flow model, thereby…
In this paper, we introduce and develop the theory of semimartingale optimal transport in a path dependent setting. Instead of the classical constraints on marginal distributions, we consider a general framework of path dependent…
We provide a survey of recent results on model calibration by Optimal Transport. We present the general framework and then discuss the calibration of local, and local-stochastic, volatility models to European options, the joint VIX/SPX…
We present the first application of the stochastic advection by Lie transport (SALT) framework to an idealized coupled ocean-atmosphere system. SALT derives stochastic fluid equations from Hamilton's variational principle under a stochastic…
In this paper, we establish the existence of probabilistically strong, measure-valued solutions for the stochastic incompressible Navier--Stokes equations and prove their convergence, in the vanishing viscosity limit, to probabilistically…
We consider stochastic volatility models using piecewise constant parameters. We suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some numerical results. Finally, we provide an outlook on…
We develop a stochastic parametrization, based on a `simple' deterministic model for the dynamics of steady longshore currents, that produces ensembles that are statistically consistent with field observations of these currents. Unlike…
We investigate the accuracy of the recently proposed nonclassical transport equation. This equation contains an extra independent variable compared to the classical transport equation (the path-length $s$), and models particle transport…
We bring a control perspective to the problem of identifying paths of measures for sampling via dynamic measure transport (DMT). We highlight the fact that commonly used paths may be poor choices for DMT and connect existing methods for…
Compute and memory constraints have historically prevented traffic simulation software users from fully utilizing the predictive models underlying them. When calibrating car-following models, particularly, accommodations have included 1)…
We develop a non-parametric, semimartingale optimal transport, calibration methodology for local volatility models with stochastic interest rate. The method finds a fully calibrated model which is the closest, in a way that can be defined…
Stochastic simulators are an indispensable tool in many branches of science. Often based on first principles, they deliver a series of samples whose distribution implicitly defines a probability measure to describe the phenomena of…
We present a first numerical investigation of the accuracy of the recently proposed {\em non-classical transport equation}. This equation contains an extra independent variable (the path-length $s$), and models particle transport taking…
ODE solvers with randomly sampled timestep sizes appear in the context of chaotic dynamical systems, differential equations with low regularity, and, implicitly, in stochastic optimisation. In this work, we propose and study the stochastic…
Modeling stochastic dynamics from discrete observations is a key interdisciplinary challenge. Existing methods often fail to estimate the continuous evolution of probability densities from trajectories or face the curse of dimensionality.…
We introduce a path sampling method for obtaining statistical properties of an arbitrary stochastic dynamics. The method works by decomposing a trajectory in time, estimating the probability of satisfying a progress constraint, modifying…
In this paper we consider multi-dimensional partial differential equations of parabolic type involving divergence form operators that possess a discontinuous coefficient matrix along some smooth interface. The solution of the equation is…