Related papers: A Stochastic Simulation Method for Fractional Orde…
In this paper we introduce a new mathematical tool to solve fractional equations representing models of fractional systems : The Ultradistributions. Ultradistributions permit us to unify the notion of integral and derivative in one only…
In this paper the computational aspects of probability calculations for dynamical partial sum expressions are discussed. Such dynamical partial sum expressions have many important applications, and examples are provided in the fields of…
We are witnessing the birth of a new variety of pharmacokinetics where non-integer-order differential equations are employed to study the time course of drugs in the body: this is dubbed "fractional pharmacokinetics." The presence of…
This article analysis differential equations which represents damped and fractional oscillators. First, it is shown that prior to using physical quantities in fractional calculus, it is imperative that they are turned dimensionless.…
Stochastic mathematical models are essential tools for understanding and predicting complex phenomena. The purpose of this work is to study the exit times of a stochastic dynamical system-specifically, the mean exit time and the…
We introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the…
In particle-based computer simulations of polydisperse glassforming systems, the particle diameters $\sigma = \sigma_1, \dots, \sigma_N$ of a system with $N$ particles are chosen with the intention to approximate a desired distribution…
The main goal of this work is to develop a data-driven Reduced Order Model (ROM) strategy from high-fidelity simulation result data of a Full Order Model (FOM). The goal is to predict at lower computational cost the time evolution of…
Stochastic processes play a fundamental role in physics, mathematics, engineering and finance. One potential application of quantum computation is to better approximate properties of stochastic processes. For example, quantum algorithms for…
Stochastic process discovery is concerned with deriving a model capable of reproducing the stochastic character of observed executions of a given process, stored in a log. This leads to an optimisation problem in which the model's parameter…
An algorithm is proposed, analyzed, and tested experimentally for solving stochastic optimization problems in which the decision variables are constrained to satisfy equations defined by deterministic, smooth, and nonlinear functions. It is…
In the present work, an attempted was made to develop a numerical algorithm by the use of new orthogonal hybrid functions formed from hybrid of piecewise constant orthogonal sample-and-hold functions and piecewise linear orthogonal…
Spatially distributed problems are often approximately modelled in terms of partial differential equations (PDEs) for appropriate coarse-grained quantities (e.g. concentrations). The derivation of accurate such PDEs starting from finer…
In performative prediction, the choice of a model influences the distribution of future data, typically through actions taken based on the model's predictions. We initiate the study of stochastic optimization for performative prediction.…
Many systems are partially stochastic in nature. We have derived data driven approaches for extracting stochastic state machines (Markov models) directly from observed data. This chapter provides an overview of our approach with numerous…
The problem of optimising functions with intractable gradients frequently arise in machine learning and statistics, ranging from maximum marginal likelihood estimation procedures to fine-tuning of generative models. Stochastic approximation…
We study classical stochastic systems with discrete states, coupled to switching external environments. For fast environmental processes we derive reduced dynamics for the system itself, focusing on corrections to the adiabatic limit of…
We present an algorithm for the simulation of the exact real-time dynamics of classical many-body systems with discrete energy levels. In the same spirit of kinetic Monte Carlo methods, a stochastic solution of the master equation is found,…
Probabilistic modeling provides the capability to represent and manipulate uncertainty in data, models, predictions and decisions. We are concerned with the problem of learning probabilistic models of dynamical systems from measured data.…
The stochastic simulation algorithm (SSA) and the corresponding Monte Carlo (MC) method are among the most common approaches for studying stochastic processes. They rely on knowledge of interevent probability density functions (PDFs) and on…