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Stochastic differential equations (SDEs) provide a natural framework for modelling intrinsic stochasticity inherent in many continuous-time physical processes. When such processes are observed in multiple individuals or experimental units,…
In this thesis, we extend the recently introduced theory of stochastic modified equations (SMEs) for stochastic gradient optimization algorithms. In Ch. 3 we study time-inhomogeneous SDEs driven by Brownian motion. For certain SDEs we prove…
Stochastic differential equations (SDEs) provide a flexible framework for modeling temporal dynamics in partially observed systems. A central task is to calibrate such models from data, which requires inferring latent trajectories and…
We present a method for learning latent stochastic differential equations (SDEs) from high-dimensional time series data. Given a high-dimensional time series generated from a lower dimensional latent unknown It\^o process, the proposed…
A systematic Bayesian framework is developed for physics constrained parameter inference ofstochastic differential equations (SDE) from partial observations. The physical constraints arederived for stochastic climate models but are…
We propose a method for developing the flows of stochastic dynamical systems, posed as Ito's stochastic differential equations, on a Riemannian manifold identified through a suitably constructed metric. The framework used for the stochastic…
Causal discovery is a data-driven paradigm for analyzing complex systems, while physics-based models, such as ordinary differential equations (ODEs), provide mechanistic structure for real-world dynamical processes. Integrating these…
In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are…
Using Brownian dynamics (BD) simulations and an analytical approach we investigate the shear-induced, nonequilibrium dynamics of dense colloidal suspensions confined to a narrow slit-pore. Focusing on situations where the colloids arrange…
Often the analysis of time-dependent chemical and biophysical systems produces high-dimensional time-series data for which it can be difficult to interpret which individual features are most salient. While recent work from our group and…
We present a novel model Graph Neural Stochastic Differential Equations (Graph Neural SDEs). This technique enhances the Graph Neural Ordinary Differential Equations (Graph Neural ODEs) by embedding randomness into data representation using…
In this paper, we study dimension reduction techniques for large-scale controlled stochastic differential equations (SDEs). The drift of the considered SDEs contains a polynomial term satisfying a one-sided growth condition. Such…
The data-driven discovery of long-time macroscopic dynamics and thermodynamics of dissipative systems with particle fidelity is hampered by significant obstacles. These include the strong time-scale limitations inherent to particle…
We present a deep learning emulator for stochastic and chaotic spatio-temporal systems, explicitly conditioned on the parameter values of the underlying partial differential equations (PDEs). Our approach involves pre-training the model on…
This study examines the challenges of modeling complex and noisy data related to socioeconomic factors over time, with a focus on data from various districts in Odisha, India. Traditional time-series models struggle to capture both trends…
We investigate properties of dense suspensions and sediments of small spherical silt particles by means of a combined Molecular Dynamics (MD) and Stochastic Rotation Dynamics (SRD) simulation. We include van der Waals and effective…
Parameter estimation for non-stationary stochastic differential equations (SDE) with an arbitrary nonlinear drift, and nonlinear diffusion is accomplished in combination with a non-parametric clustering methodology. Such a model-based…
Probabilistic ordinary differential equation (ODE) solvers have been introduced over the past decade as uncertainty-aware numerical integrators. They typically proceed by assuming a functional prior to the ODE solution, which is then…
Dynamic density functionals (DDFs) are popular tools for studying the dynamical evolution of inhomogeneous polymer systems. Here, we present a systematic evaluation of a set of diffusive DDF theories by comparing their predictions with data…
Traditional data-driven methods, effective for deterministic systems or stochastic differential equations (SDEs) with Gaussian noise, fail to handle the discontinuous sample paths and heavy-tailed fluctuations characteristic of L\'evy…