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The main goal of this paper is to show how some monotonicity methods related with the subdifferential of suitable convex functions and its extensions as m-accretive operators in Banach spaces lead to new and unexpected results showing, for…
We consider the problem of simulating loss probabilities and conditional excesses for linear asset portfolios under the t-copula model. Although in the literature on market risk management there are papers proposing efficient variance…
The recently-introduced self-learning Monte Carlo method is a general-purpose numerical method that speeds up Monte Carlo simulations by training an effective model to propose uncorrelated configurations in the Markov chain. We implement…
We study semi-linear elliptic PDEs with polynomial non-linearity and provide a probabilistic representation of their solution using branching diffusion processes. When the non-linearity involves the unknown function but not its derivatives,…
Algorithms based on discretizing Langevin diffusion are popular tools for sampling from high-dimensional distributions. We develop novel connections between such Monte Carlo algorithms, the theory of Wasserstein gradient flow, and the…
We develop a semi-analytic approach to the valuation of auto-callable structures with accrual features subject to barrier conditions. Our approach is based on recent studies of multi-assed binaries, present in the literature. We extend…
In this work, we establish $\mathrm{L}^2$-exponential convergence for a broad class of Piecewise Deterministic Markov Processes recently proposed in the context of Markov Process Monte Carlo methods and covering in particular the Randomized…
The quantization of noncommutative scalar field theory is studied from the matrix model point of view, exhibiting the significance of the eigenvalue distribution. This provides a new framework to study renormalization, and predicts a phase…
In this talk I describe a recently introduced field-theoretical approach that can be used as an alternative framework to study one-dimensional systems of highly correlated particles.
We propose extensions and improvements of the statistical analysis of distributed multipoles (SADM) algorithm put forth by Chipot et al. in [6] for the derivation of distributed atomic multipoles from the quantum-mechanical electrostatic…
This article is a pedagogical review of Monte Carlo methods for the self-avoiding walk, with emphasis on the extraordinarily efficient algorithms developed over the past decade.
We extend the Worldline Monte Carlo approach to computationally simulating the Feynman path integral of non-relativistic multi-particle quantum-mechanical systems. We show how to generate an arbitrary number of worldlines distributed…
We propose algorithms for solving high-dimensional Partial Differential Equations (PDEs) that combine a probabilistic interpretation of PDEs, through Feynman-Kac representation, with sparse interpolation. Monte-Carlo methods and…
A statistical learning approach for parametric PDEs related to Uncertainty Quantification is derived. The method is based on the minimization of an empirical risk on a selected model class and it is shown to be applicable to a broad range…
Bayesian inference for models that have an intractable partition function is known as a doubly intractable problem, where standard Monte Carlo methods are not applicable. The past decade has seen the development of auxiliary variable Monte…
Despite the advances in the development of numerical methods analytical approaches still play the key role on the way towards a deeper understanding of many-particle systems. In this regards, diagonalization schemes for Hamiltonians…
In a random ray method of neutral particle transport simulation, each iteration begins by sampling a set of rays before proceeding to solve the characteristic transport equation along the linear paths the rays follow. Historically,…
In this paper we propose and study a family of continuous wavelets on general domains, and a corresponding stochastic discretization that we call Monte Carlo wavelets. First, using tools from the theory of reproducing kernel Hilbert spaces…
We consider generalizations of the classical inverse problem to Bayesien type estimators, where the result is not one optimal parameter but an optimal probability distribution in parameter space. The practical computational tool to compute…
Deep learning methods for communications over unknown nonlinear channels have attracted considerable interest recently. In this paper, we consider semi-supervised learning methods, which are based on variational inference, for decoding…