Related papers: Exact Simulation from Tempered Stable Distribution…
The numerical approximation of an inverse problem subject to the convection--diffusion equation when diffusion dominates is studied. We derive Carleman estimates that are on a form suitable for use in numerical analysis and with explicit…
We revisit the problem of computing (robust) controlled invariant sets for discrete-time linear systems. Departing from previous approaches, we consider implicit, rather than explicit, representations for controlled invariant sets.…
It has long been agreed by academics that the inversion method is the method of choice for generating random variates, given the availability of the quantile function. However for several probability distributions arising in practice a…
Simulation from the truncated multivariate normal distribution in high dimensions is a recurrent problem in statistical computing, and is typically only feasible using approximate MCMC sampling. In this article we propose a minimax tilting…
Interior pointwise $C^{1,\alpha}$ estimates are established for Stokes systems in divergence form where no continuity in time variable is assumed for the coefficients and the given data. The estimates are attained by iteration and are…
After having developed a method that measures real time evolution of quantum systems at a finite temperature, we present here the simplest field theory where this scheme can be applied to, namely the 1+1 Ising model. We will compute the…
Simulated tempering (ST) has attracted a great deal of attention in the last years, due to its capability to allow systems with complex dynamics to escape from regions separated by large entropic barriers. However its performance is…
$\alpha$-stable distributions are utilised as models for heavy-tailed noise in many areas of statistics, finance and signal processing engineering. However, in general, neither univariate nor multivariate $\alpha$-stable models admit closed…
We developed a Monte Carlo simulation method to calculate incoherent Thomson scattering spectra in high temperature plasmas. The basic idea is to treat the entire scattering process as the superposition of individual photon-electron…
Generalizing an idea of Davie and Gaines (2001), we present a method for the simulation of fully discrete samples of the solution to the stochastic heat equation on an interval. We provide a condition for the validity of the approximation,…
In this paper we consider the problem of finding stable maxima of expensive (to evaluate) functions. We are motivated by the optimisation of physical and industrial processes where, for some input ranges, small and unavoidable variations in…
This paper studies the exponential stabilization on infinite dimensional system with impulse controls, where impulse instants appear periodically. The first main result shows that exponential stabilizability of the control system with a…
The effective action is computed for the \lphi--theory at finite temperature for small perturbations about a constant background field, using a generalized tadpole method. We find the complete effective action, including the real and…
This paper addresses the challenging numerical simulation of nonlinear hybrid stochastic functional differential equations with infinite delays. We first propose an explicit scheme using space and time truncation, requiring only finite…
We investigate the stability and stabilization concepts for infinite dimensional time fractional differential linear systems in Hilbert spaces with Caputo derivatives. Firstly, based on a family of operators generated by strongly continuous…
The dispersion error is often the dominant error for computed solutions of wave propagation problems with high-frequency components. In this paper, we define and give explicit examples of $\alpha$-dispersion-relation-preserving schemes.…
We propose a new approach to perform numerical simulations of theta-vacuum like systems, test it in two analytically solvable models, and apply it to CP^3. The main new ingredient in our approach is the method used to compute the…
By the Lindeberg principle, we develop in this paper an approximation to one dimensional (possibly) asymmetric $\alpha$-stable distributions with $\alpha \in (0,2)$ in the smooth Wasserstein distance. It is the first time that the general…
The partition function by means of the static path approximation (SPA) plus the random-phase approximation (RPA) treatment can be written as a contour integral form without solving the RPA equations for a separable interaction. This method…
In this paper we present a method to generate independent samples for a general random variable, either continuous or discrete. The algorithm is an extension of the acceptance-rejection method, and it is particularly useful for kinetic…