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We derive and implement an alternative formulation of the Stochastic Lanczos algorithm to be employed in connection with the Many-Body Dispersion model (MBD). Indeed, this formulation, which is only possible due to the Stochastic Lanczos'…
We propose a novel method for sampling from unnormalized Boltzmann densities based on a probability flow ordinary differential equation (ODE) derived from linear stochastic interpolants. The key innovation of our approach is the use of a…
The mean field limits of systems of interacting diffusions (also called stochastic interacting particle systems (SIPS)) have been intensively studied since McKean \cite{mckean1966class}. The interacting diffusions pave a way to…
Microscopic processes on surfaces such as adsorption, desorption, diffusion and reaction of interacting particles can be simulated using kinetic Monte Carlo (kMC) algorithms. Even though kMC methods are accurate, they are computationally…
Surface diffusion of small adsorbates is analyzed in terms of the so-called intermediate scattering function and dynamic structure factor, observables in experiments using the well-known quasielastic Helium atom scattering and Helium spin…
The Persistent Turning Walker Model (PTWM) was introduced by Gautrais et al in Mathematical Biology for the modelling of fish motion. It involves a nonlinear pathwise functional of a non-elliptic hypo-elliptic diffusion. This diffusion…
In this article we consider the filtering problem associated to partially observed diffusions, with observations following a marked point process. In the model, the data form a point process with observation times that have its intensity…
Given a large ensemble of interacting particles, driven by nonlocal interactions and localized repulsion, the mean-field limit leads to a class of nonlocal, nonlinear partial differential equations known as aggregation-diffusion equations.…
The porous medium equation (PME) is a typical nonlinear degenerate parabolic equation. An energetic variational approach has been studied in a recent work [6], in which the trajectory equation is obtained, and a few first order accurate…
We propose a novel numerical approach for nonlocal diffusion equations [8] with integrable kernels, based on the relationship between the backward Kolmogorov equation and backward stochastic differential equations (BSDEs) driven by L\`{e}vy…
In this paper we introduce a novel particle filter scheme for a class of partially-observed multivariate diffusions. %continuous-time dynamic models where the %signal is given by a multivariate diffusion process. We consider a variety of…
The Fourier Basis Density Model (FBM) was recently introduced as a flexible probability model for band-limited distributions, i.e. ones which are smooth in the sense of having a characteristic function with limited support around the…
We derive the porous medium equation from an interacting particle system which belongs to the family of exclusion processes, with nearest neighbor exchanges. The particles follow a degenerate dynamics, in the sense that the jump rates can…
Variance reduction methods are often needed for the reliability assessment of complex industrial systems, we focus on one variance reduction method in a given context, that is the interacting particle system method (IPS) used on piecewise…
We propose a finite volume method on general meshes for the discretization of a degenerate parabolic convection-reaction-diffusion equation. Equations of this type arise in many contexts, such as the modeling of contaminant transport in…
We propose a continuous-time formulation of persistent contrastive divergence (PCD) for maximum likelihood estimation (MLE) of unnormalised densities. Our approach expresses PCD as a coupled, multiscale system of stochastic differential…
We consider a system of $N$ interacting particles, governed by transport and diffusion, that converges in a mean-field limit to the solution of a McKean-Vlasov equation. From the observation of a trajectory of the system over a fixed time…
The object of this paper is the uniqueness for a $d$-dimensional Fokker-Planck type equation with non-homogeneous (possibly degenerated) measurable not necessarily bounded coefficients. We provide an application to the probabilistic…
Discharge of hazardous substances into the marine environment poses a substantial risk to both public health and the ecosystem. In such incidents, it is imperative to accurately estimate the release strength of the source and reconstruct…
We propose a stochastic branching particle-based method for solving nonlinear non-conservative advection-diffusion-reaction equations. The method splits the evolution into an advection-diffusion step, based on a linearized Kolmogorov…