Related papers: A Modified Walk-on-sphere Method for High Dimensio…
In this work a Green function approach for scattering quantum walks is developed. The exact formula has the form of a sum over paths and always can be cast into a closed analytic expression for arbitrary topologies and position dependent…
In this paper, a high-order and fast numerical method is investigated for the time-fractional Black-Scholes equation. In order to deal with the typical weak initial singularities of the solution, we construct a finite difference scheme with…
We prove that random walks on a family of tilings of d-dimensional Euclidean space, with a canonical choice of conductances, converge to Brownian motion modulo time parameterization. This class of tilings includes Delaunay triangulations…
Considering the issue of estimating small probabilities p, ie. measuring a rare domain F = {x | g(x) > q} with respect to the distribution of a random vector X, Multilevel Splitting strategies (also called Subset Simulation) aim at writing…
This paper presents a novel quantum walk approach to simulating parton showers on a quantum computer. We demonstrate that the quantum walk paradigm offers a natural and more efficient approach to simulating parton showers on quantum…
Groundwater flow in Washington DC greatly influences the surface water quality in urban areas. The current methods of flow estimation, based on Darcy's Law and the groundwater flow equation, can be described by the diffusion equation (the…
A new method of numerical solution for partial differential equations is proposed. The method is based on a fast matrix multiplication algorithm. Two-dimensional Poison equation is used for comparison of the proposed method with…
We consider a ranking and selection (R&S) problem with the goal to select a system with the largest or smallest expected performance measure among a number of simulated systems with a pre-specified probability of correct selection. Fully…
Multiperforated plates exhibit high gradients and a loss of regularity concentrated in a boundary layer for which a direct numerical simulation becomes very expensive. For elliptic equations the solution at some distance of the boundary is…
We consider partially directed walks crossing a $L\times L$ square weighted according to their length by a fugacity $t$. The exact solution of this model is computed in three different ways, depending on whether $t$ is less than, equal to…
The purpose of this work is to introduce and analyze a numerical scheme to efficiently solve boundary value problems involving the spectral fractional Laplacian. The approach is based on a reformulation of the problem posed on a…
In this paper, we develop a numerical method for the L\'evy-Fokker-Planck equation with the fractional diffusive scaling. There are two main challenges. One comes from a two-fold nonlocality, that is, the need to apply the fractional…
In this paper, we present numerical methods to implement the probabilistic representation of third kind (Robin) boundary problem for the Laplace equations. The solution is based on a Feynman-Kac formula for the Robin problem which employs…
This paper focuses on the port-Hamiltonian formulation of systems described by partial differential equations. Based on a variational principle we derive the equations of motion as well as the boundary conditions in the well-known…
In this paper we create a model of particle motion on a three-dimensional lattice using discrete random walk with small steps. We rigorously construct a probability space of the particle trajectories. Unlike deterministic approach in…
The study of fractional order differential operators is receiving renewed attention in many scientific fields. In order to accommodate researchers doing work in these areas, there is a need for highly scalable numerical methods for solving…
We survey the 'generalized fractional Poisson process' (GFPP). The GFPP is a renewal process generalizing Laskin's fractional Poisson counting process and was first introduced by Cahoy and Polito. The GFPP contains two index parameters with…
This work deals with the stationary analysis of two-dimensional partially homogeneous nearest-neighbour random walks. Such type of random walks in the quarter plane are characterized by the fact that the one-step transition probabilities…
The Initial-Boundary Value Problem for the heat equation is solved by using a new algorithm based on a random walk on heat balls. Even if it represents a sophisticated generalization of the Walk on Spheres (WOS) algorithm introduced to…
Fractional differential equations model processes with memory effects, providing a realistic perspective on complex systems. We examine time-delayed differential equations, discussing first-order and fractional Caputo time-delayed…