Related papers: Simulating elliptic diffusions and orthogonal inva…
A new method is proposed to numerically extract the diffusivity of a (typically nonlinear) diffusion equation from underlying stochastic particle systems. The proposed strategy requires the system to be in local equilibrium and have…
This paper provides an algorithm for simulating improper (or noncircular) complex-valued stationary Gaussian processes. The technique utilizes recently developed methods for multivariate Gaussian processes from the circulant embedding…
We introduce a method to sample the orientational distribution function in computer simulations. The method is based on the exact torque balance equation for classical many-body systems of interacting anisotropic particles in equilibrium.…
Diffusion models have emerged as powerful tools for solving inverse problems, yet prior work has primarily focused on observations with Gaussian measurement noise, restricting their use in real-world scenarios. This limitation persists due…
Diffusions are a fundamental class of models in many fields, including finance, engineering, and biology. Simulating diffusions is challenging as their sample paths are infinite-dimensional and their transition functions are typically…
We propose a numerical method to simulate electrohydrodynamic phenomena in charged colloidal dispersions. This method enables us to compute the time evolutions of colloidal particles, ions, and host fluids simultaneously by solving Newton,…
We provide the first generic exact simulation algorithm for multivariate diffusions. Current exact sampling algorithms for diffusions require the existence of a transformation which can be used to reduce the sampling problem to the case of…
In this paper we present numerical methods - finite differences and finite elements - for solution of partial differential equation of fractional order in time for one-dimensional space. This equation describes anomalous diffusion which is…
In this paper, we study numerical methods for the homogenization of linear second-order elliptic equations in nondivergence-form with periodic diffusion coefficients and large drift terms. Upon noting that the effective diffusion matrix can…
We study a class of stochastic semilinear damped wave equations driven by additive Wiener noise. Owing to the damping term, under appropriate conditions on the nonlinearity, the solution admits a unique invariant distribution. We apply…
The paper considers an Euler discretization based numerical scheme for approximating functionals of invariant distribution of an ergodic diffusion. Convergence of the numerical scheme is shown for suitably chosen discretization step, and a…
We propose simple methods for multivariate diffusion bridge simulation, which plays a fundamental role in simulation-based likelihood and Bayesian inference for stochastic differential equations. By a novel application of classical coupling…
The Galerkin method is used to derive a realistic model of plane Couette flow in terms of partial differential equations governing the space-time dependence of the amplitude of a few cross-stream modes. Numerical simulations show that it…
Continuous time stochastic processes are useful models especially for financial and insurance purposes. The numerical simulation of such models is dependant of the time discrete discretization, of the parametric estimation and of the choice…
This paper provides a general and abstract approach to approximate ergodic regimes of Markov and Feller processes. More precisely, we show that the recursive algorithm presented in Lamberton & Pages (2002) and based on simulation algorithms…
In this work we develop a methodology to approximate the covariance matrix associated to the simulation of water diffusion inside the brain tissue. The computation is based on an implementation of the Discontinuous Galerkin method of the…
We propose and study discontinuous Galerkin methods for strongly degenerate convection-diffusion equations perturbed by a fractional diffusion (L\'evy) operator. We prove various stability estimates along with convergence results toward…
The aim of this article is to provide a scheme for simulating diffusion processes evolving in one-dimensional discontinuous media. This scheme does not rely on smoothing the coefficients that appear in the infinitesimal generator of the…
We develop and analyze a numerical method for stochastic time-fractional diffusion driven by additive fractionally integrated Gaussian noise. The model involves two nonlocal terms in time, i.e., a Caputo fractional derivative of order…
The nonlinear dynamics of an obliquely oriented wave packet at sea surface is studied both analytically and numerically for various initial parameters of the packet, in connection with the problem of oceanic rogue waves. In the framework of…