Related papers: Exact Simulation from Tempered Stable Distribution…
Purpose - This paper presents a first step toward developing a comprehensive methodology for fully resolved numerical simulations of fusion deposition modeling. Design/methodology/approach - A front-tracking/finite volume method previously…
In this paper, a diffusion-aggregation equation with delta potential is introduced. Based on the global existence and uniform estimates of solutions to the diffusion-aggregation equation, we also provide the rigorous derivation from a…
Multistable distributions, which have been introduced recently by Falconer, L\'evy V\'ehel and their co-authors, are natural generalizations of symmetric "alpha" stable distributions; roughly speaking, they are obtained by replacing the…
We prove a strong approximation result for the empirical process associated to a stationary sequence of real-valued random variables, under dependence conditions involving only indicators of half lines. This strong approximation result also…
A statistical algorithm for estimating the characteristic parameter $\alpha$ of the stable law is presented and the estimate of its quadratic deviation is obtained in the paper. This algorithm is applied in the description of the…
In this work, we explore a time-fractional diffusion equation of order $\alpha \in (0,1)$ with a stochastic diffusivity parameter. We focus on efficient estimation of the expected values (considered as an infinite dimensional integral on…
We show that the acceptance probability for swaps in the parallel tempering Monte Carlo method for classical canonical systems is given by a universal function that depends on the average statistical fluctuations of the potential and on the…
We present a variational approach for quantum simulators to realize finite temperature Gibbs states by preparing thermofield double (TFD) states. Our protocol is motivated by the quantum approximate optimization algorithm (QAOA) and…
In this chapter, we present some recent progresses on the numerics for stochastic distributed parameter control systems, based on the \emph{finite transposition method} introduced in our previous works. We first explain how to reduce the…
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
In this paper the running average of a subordinator with a tempered stable distribution is considered. We investigate a family of previously unexplored infinite-activity subordinators induced by the probability distribution of the running…
A trigonometrically approximated maximum likelihood estimation for $\alpha$-stable laws is proposed. The estimator solves the approximated likelihood equation, which is obtained by projecting a true score function on the space spanned by…
Exact path simulation of the underlying state variable is of great practical importance in simulating prices of financial derivatives or their sensitivities when there are no analytical solutions for their pricing formulas. However, in…
In statistical physics, the efficiency of tempering approaches strongly depends on ingredients such as the number of replicas $R$, reliable determination of weight factors and the set of used temperatures, ${\mathcal T}_R = \{T_1, T_2,…
A function of the empirical characteristic function,exists for the stable distribution, which leads to a linear regression and can be used to estimate the parameters. Two approaches are often used, one to find optimal values of t, but these…
We study a fully discrete finite element method for variable-order time-fractional diffusion equations with a time-dependent variable order. Optimal convergence estimates are proved with the first-order accuracy in time (and second order…
In discrete contexts such as the degree distribution for a graph, \emph{scale-free} has traditionally been \emph{defined} to be \emph{power-law}. We propose a reasonable interpretation of \emph{scale-free}, namely, invariance under the…
A uniform bounded variation estimate for finite volume approximations of the nonlinear scalar conservation law $\partial_t \alpha + \mathrm{div}(\boldsymbol{u}f(\alpha)) = 0$ in two and three spatial dimensions with an initial data of…
This article provides a general expression for infinitely divisible multivariate gamma distributions defined by their Laplace transforms, as well as the conditional Laplace transform of infinitely divisible multivariate gamma…
This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…