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Moving boundary problems allow to model systems with phase transition at an inner boundary. Driven by problems in economics and finance, in particular modeling of limit order books, we consider a stochastic and non-linear extension of the…
We consider a generic convex-concave saddle point problem with separable structure, a form that covers a wide-ranged machine learning applications. Under this problem structure, we follow the framework of primal-dual updates for saddle…
We investigate piecewise deterministic Markov processes (PDMP), where the deterministic dynamics follows a scalar conservation law and random jumps in the system are characterized by changes in the flux function. We show under which…
We consider stochastic dynamical systems defined by differential equations with a uniform random time delay. The latter equations are shown to be equivalent to deterministic higher-order differential equations: for an $n$-th order equation…
We model incompressible flows with an adaptive stabilized finite element method Stokes flows, which solves a discretely stable saddle-point problem to approximate the velocity-pressure pair. Additionally, this saddle-point problem delivers…
Extreme events occur across the natural, engineering, and socioeconomic sciences, where rare but high-impact episodes can lead to disproportionate consequences that pose major challenges for prediction and risk management. Existing studies…
We introduce a new sequential subspace optimization method for large-scale saddle-point problems. It solves iteratively a sequence of auxiliary saddle-point problems in low-dimensional subspaces, spanned by directions derived from…
We propose a new procedure to monitor and forecast the onset of transitions in high dimensional complex systems. We describe our procedure by an application to the Tangled Nature model of evolutionary ecology. The quasi-stable…
In the present paper, we give some examples of stochastic differential equations which have delicateness in the Markov and strong Markov properties, the uniqueness locally in time and globally in time, and initial conditions. Moreover, we…
In this paper, we establish a large deviation principle for a type of stochastic partial differential equations (SPDEs) with locally monotone coefficients driven by L\'evy noise. The weak convergence method plays an important role.
This work proposes a systematic model reduction approach based on rank adaptive tensor recovery for partial differential equation (PDE) models with high-dimensional random parameters. Since the standard outputs of interest of these models…
We propose a biologically inspired model of spiking neurons based on the dynamics of a damped, driven pendulum. Unlike traditional models such as the Leaky Integrate-and-Fire (LIF) neurons, the pendulum neuron incorporates second-order,…
Stochastic differential equations play an important role in various applications when modeling systems that have either random perturbations or chaotic dynamics at faster time scales. The time evolution of the probability distribution of a…
In this paper, we use a stochastic partial differential equation (SPDE) as a model for the density of a population under the influence of random external forces/stimuli given by the environment. We study statistical properties for two…
High-index saddle dynamics (HiSD) is an effective approach for computing saddle points of a prescribed Morse index and constructing solution landscapes for complex nonlinear systems. However, for problems with ill-conditioned Hessians…
We study a class of linear first and second order partial differential equations driven by weak geometric $p$-rough paths, and prove the existence of a unique solution for these equations. This solution depends continuously on the driving…
Tensor models and tensor field theories admit a $1/N$ expansion and a melonic large $N$ limit which is simpler than the planar limit of random matrices and richer than the large $N$ limit of vector models. They provide examples of…
The large deviations properties of trajectory observables for chaotic non-invertible deterministic maps as studied recently by N. R. Smith, Phys. Rev. E 106, L042202 (2022) and by R. Gutierrez, A. Canella-Ortiz, C. Perez-Espigares,…
This paper aims to investigate the numerical approximation of a general second order parabolic stochastic partial differential equation(SPDE) driven by multiplicative and additive noise. Our main interest is on such SPDEs where the…