Related papers: Feynman-Kac Operator Expectation Estimator
Consider a set of agents that wish to estimate a vector of parameters of their mutual interest. For this estimation goal, agents can sense and communicate. When sensing, an agent measures (in additive gaussian noise) linear combinations of…
We propose the Bayesian bridge estimator for regularized regression and classification. Two key mixture representations for the Bayesian bridge model are developed: (1) a scale mixture of normals with respect to an alpha-stable random…
Modelling random dynamical systems in continuous time, diffusion processes are a powerful tool in many areas of science. Model parameters can be estimated from time-discretely observed processes using Markov chain Monte Carlo (MCMC) methods…
We aim to provide a Feynman-Kac type representation for Hamilton-Jacobi-Bellman equation, in terms of forward backward stochastic differential equation (FBSDE) with a simulatable forward process. For this purpose, we introduce a class of…
In this work, we consider a one-dimensional It{\^o} diffusion process X t with possibly nonlinear drift and diffusion coefficients. We show that, when the diffusion coefficient is known, the drift coefficient is uniquely determined by an…
Solving flow through porous media is a crucial step in the topology optimisation of cold plates, a key component in modern thermal management. Traditional computational fluid dynamics (CFD) methods, while accurate, are often prohibitively…
The central object in wave turbulence theory is the wave kinetic equation (WKE), which is an evolution equation for wave action density and acts as the wave analog of the Boltzmann kinetic equations for particle interactions. Despite recent…
Computational fluid dynamics (CFD) is a cornerstone of classical scientific computing, and there is growing interest in whether quantum computers can accelerate such simulations. To date, the existing proposals for fault-tolerant quantum…
In this work we investigate the numerical identification of the diffusion coefficient in elliptic and parabolic problems using neural networks. The numerical scheme is based on the standard output least-squares formulation where the…
Massive machine-type communication (mMTC) is a newly introduced service category in 5G wireless communication systems to support a variety of Internet-of-Things (IoT) applications. In recovering sparsely represented multi-user vectors,…
In this paper, we address the performance degradation of efficient diffusion models by introducing Multi-architecturE Multi-Expert diffusion models (MEME). We identify the need for tailored operations at different time-steps in diffusion…
In this paper, we develop a physics-informed deep operator learning framework for solving multi-term time-fractional mixed diffusion-wave equations (TFMDWEs). We begin by deriving an $L_2$ approximation, which achieves first-order accuracy…
The classical Fokker-Planck equation (FPE) is a key tool in physics for describing systems influenced by drag forces and Gaussian noise, with applications spanning multiple fields. We consider the fractional Fokker-Planck equation (FFPE),…
Kinetic descriptions of runaway electrons (RE) are usually based on Fokker-Planck models that determine the probability distribution function (PDF) of RE in 2-dimensional momentum space. Despite of the simplification involved, the…
We develop new econometric methods for estimation and inference in high-dimensional panel data models with interactive fixed effects. Our approach can be regarded as a non-trivial extension of the very popular common correlated effects…
We propose a novel non-compact, positivity-preserving scheme for linear non-divergence form parabolic equations. Based on the Feynman-Kac formula, the solution is expressed as a conditional expectation of an associated diffusion process.…
We introduce a stochastic process and functional that should describe the semigroup generated by the stochastic Bessel operator. Recently Gorin and Shkolnikov showed that the largest eigenvalues for certain random matrix ensembles with soft…
Network models are useful tools for modelling complex associations. If a Gaussian graphical model is assumed, conditional independence is determined by the non-zero entries of the inverse covariance (precision) matrix of the data. The…
One main challenge for the design of networks is that traffic load is not generally known in advance. This makes it hard to adequately devote resources such as to best prevent or mitigate bottlenecks. While several authors have shown how to…
The main results of this paper comprise proofs of the following two related facts: (i) the Feynman--Kac formula is a functor $F_*$, namely, between a stochastic differential equation and a dynamical system on a statistical manifold, and…