Related papers: Monte Carlo method and the random isentropic Euler…
We study discrete-time simulation schemes for stochastic Volterra equations, namely the Euler and Milstein schemes, and the corresponding Multi-Level Monte-Carlo method. By using and adapting some results from Zhang [22], together with the…
Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the…
We present a convergence analysis of a finite volume (FV) scheme for the multicomponent compressible Euler system in the framework of dissipative weak (DW) solutions. DW solutions were introduced as a generalized solution framework in…
Monte Carlo methods play important part in modern statistical physics. The application of these methods suffer from two main difficulties.The first is caused by the relatively small number of particles that can participate in any numerical…
This chapter is devoted to the computation of equilibrium (thermodynamic) properties of quantum systems. In particular, we will be interested in the situation where the interaction between particles is so strong that it cannot be treated as…
We study the Heston-Cox-Ingersoll-Ross++ stochastic-local volatility model in the context of foreign exchange markets and propose a Monte Carlo simulation scheme which combines the full truncation Euler scheme for the stochastic volatility…
Quantum mechanics for many-body systems may be reduced to the evaluation of integrals in 3N dimensions using Monte-Carlo, providing the Quantum Monte Carlo ab initio methods. Here we limit ourselves to expectation values for trial…
We develop a Monte Carlo simulation method for computing stationary solutions of the general-relativistic Vlasov equation describing a gas of non-colliding particles. As specific examples, we select planar or spherically symmetric accretion…
We study an optimal control problem under uncertainty, where the target function is the solution of an elliptic partial differential equation with random coefficients, steered by a control function. The robust formulation of the…
We establish the global existence of weak entropy solutions for 1D isentropic gas dynamics with general pressure laws ($\gamma > 1$). To address vacuum degeneracy, we introduce a novel structural regularization via a "Synchronized Dual…
New hybrid Molecular Dynamics-Monte Carlo methods are proposed to increase the efficiency of constant-pressure simulations. Two variations of the isobaric Molecular Dynamics component of the algorithms are considered. In the first, we use…
The efficiency of Monte Carlo samplers is dictated not only by energetic effects, such as large barriers, but also by entropic effects that are due to the sheer volume that is sampled. The latter effects appear in the form of an entropic…
Monte Carlo simulations are methods for simulating statistical systems. The aim is to generate a representative ensemble of configurations to access thermodynamical quantities without the need to solve the system analytically or to perform…
The Cauchy problem for the complete Euler system is in general ill posed in the class of admissible (entropy producing) weak solutions. This suggests there might be sequences of approximate solutions that develop fine scale oscillations.…
The EM algorithm is a powerful tool for maximum likelihood estimation with missing data. In practice, the calculations required for the EM algorithm are often intractable. We review numerous methods to circumvent this intractability, all of…
We adapt the concept of $\mathcal{K}-$convergence of Young measures to the sequences of approximate solutions resulting from numerical schemes. We obtain new results on pointwise convergence of numerical solutions in the case when solutions…
Classical algorithms in numerical analysis for numerical integration (quadrature/cubature) follow the principle of approximate and integrate: the integrand is approximated by a simple function (e.g. a polynomial), which is then integrated…
Monte Carlo simulations are widely employed to measure the physical properties of glass-forming liquids in thermal equilibrium. Combined with local Monte Carlo moves, the Metropolis algorithm can also be used to simulate the relaxation…
We propose a new finite volume scheme for the Euler system of gas dynamics motivated by the model proposed by H. Brenner. Numerical viscosity imposed through upwinding acts on the velocity field rather than on the convected quantities. The…
We study the convergence of a finite volume method based on the method of bicharacteristics for multidimensional hyperbolic conservation laws. In particular, we concentrate on the linear wave equation system and nonlinear Euler equations of…