Related papers: Stochastic estimation of Green's functions with ap…
Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the…
We derive and analyze new diffusion approximations of stationary distributions of Markov chains that are based on second- and higher-order terms in the expansion of the Markov chain generator. Our approximations achieve a higher degree of…
Aims. Numerical test-particle simulations are a reliable and frequently used tool to test analytical transport theories and to predict mean-free paths. The comparison between solutions of the diffusion equation and the particle flux is used…
Mathematically modelling diffusive and advective transport of particles in heterogeneous layered media is important to many applications in computational, biological and medical physics. While deterministic continuum models of such…
In this study, we consider the simulation of subsurface flow and solute transport processes in the stationary limit. In the convection-dominant case, the numerical solution of the transport problem may exhibit non-physical diffusion and…
The Gaussian function (GF) is widely used to explain the behavior or statistical distribution of many natural phenomena as well as industrial processes in different disciplines of engineering and applied science. For example, the GF can be…
Flexible boundary condition methods couple an isolated defect to bulk through the bulk lattice Green's function. The inversion of the force-constant matrix for the lattice Green's function requires Fourier techniques to project out the…
We derive sufficient conditions for the convex and monotonic g-stochastic ordering of diffusion processes under nonlinear g-expectations and g-evaluations. Our approach relies on comparison results for forward-backward stochastic…
The Non-equilibrium Green's function (NEGF) formalism is a particularly powerful method to simulate the quantum transport properties of nanoscale devices such as transistors, photo-diodes, or memory cells, in the ballistic limit of…
This paper presents a perspective in which Direct Simulation Monte Carlo (DSMC) is viewed not in its traditional role as an algorithm for solving the Boltzmann equation but as a numerical method for statistical mechanics. First, analytical…
In planning problems, it is often challenging to fully model the desired specifications. In particular, in human-robot interaction, such difficulty may arise due to human's preferences that are either private or complex to model.…
Advection-diffusion equations describe a large family of natural transport processes, e.g., fluid flow, heat transfer, and wind transport. They are also used for optical flow and perfusion imaging computations. We develop a machine learning…
The~numerical solutions to a non-linear Fractional Fokker--Planck (FFP) equation are studied estimating the generalized diffusion coefficients. The~aim is to model anomalous diffusion using an FFP description with fractional velocity…
Explicit numerical finite difference schemes for partial differential equations are well known to be easy to implement but they are particularly problematic for solving equations whose solutions admit shocks, blowups and discontinuities.…
We consider mixing problems in the form of transient convection--diffusion equations with a velocity vector field with multiscale character and rough data. We assume that the velocity field has two scales, a coarse scale with slow spatial…
Linear singularly perturbed convection-diffusion problems with characteristic layers are considered in three dimensions. We demonstrate the sharpness of our recently obtained upper bounds for the associated Green's function and its…
We propose a novel discrete method of constructing Gaussian Random Fields (GRF) based on a combination of modified spectral representations, Fourier and Blob. The method is intended for Direct Numerical Simulations of the V-Langevin…
We consider a one-dimensional "gas" of inelastically colliding particles where kinetic energy is dissipated by the excitation of vibrational degrees of freedom. In our model the coefficient of restitution is a stochastic quantity whose…
In this paper, we present a powerful method (Atomistic Green's Function, AGF) for calculating the effective Hamiltonian of acoustic and elastic wave-scatterers. The ability to calculate the effective Hamiltonian allows for the study of…
This paper develops a new technique for the path approximation of one-dimensional stochastic processes, more precisely the Brownian motion and families of stochastic differential equations sharply linked to the Brownian motion (usually…