Related papers: Simulation of conditioned diffusions
Models of particle propagation in causal set theory are investigated through simulations. For the swerves model the simulations are shown to agree with the expected continuum diffusion behaviour. Given the limitations on the simulated…
We study compressible fluid flow in narrow two-dimensional channels using a novel molecular dynamics simulation method. In the simulation area, an upstream source is maintained at constant density and temperature while a downstream…
We extend some results on the convergence of one-dimensional diffusions killed at the boundary, conditioned on extended survival, to the case of general killing on the interior. We show, under fairly general conditions, that a diffusion…
We present a method of deriving two boundary conditions at a thin membrane for diffusion from experimental data. This method can be really useful in complex membrane systems in which we do not know mechanisms of processes occurring within…
In this paper, we study the quasi-stationary behavior of the one-dimensional diffusion process with a regular or exit boundary at 0 and an entrance boundary at $\infty$. By using the Doob's $h$-transform, we show that the conditional…
We perform molecular dynamic simulations of liquid nanoparticles deposited on a disordered substrate. The motion of the nanoparticle is characterised by a 'stick and roll' diffusive process. Long simulation times ($\simeq \mu s$), analysis…
Continuum kinetic simulations of plasmas, where the distribution function of the species is directly discretized in phase-space, permits fully kinetic simulations without the statistical noise of particle-in-cell methods. Recent advances in…
Given an unconditional diffusion model targeting a joint model $\pi(x, y)$, using it to perform conditional simulation $\pi(x \mid y)$ is still largely an open question and is typically achieved by learning conditional drifts to the…
Rapidly decreasing tempered stable distributions are useful models for financial applications. However, there has been no exact method for simulation available in the literature. We remedy this by introducing an exact simulation method in…
Suppose $X$ is a multidimensional diffusion process. Assume that at time zero the state of $X$ is fully observed, but at time $T>0$ only linear combinations of its components are observed. That is, one only observes the vector $L X_T$ for a…
A new solution to the mono-dimensional diffusion equation for time-variable first kind boundary condition is presented where the time-variable function at the surface is derived proposing a surface saturation model. This solution may be…
The diffusion and flow of amorphous materials, such as glasses and granular materials, has resisted a simple microscopic description, analogous to defect theories for crystals. Early models were based on either gas-like inelastic collisions…
A model for diffusion on a cubic lattice with a random distribution of traps is developed. The traps are redistributed at certain time intervals. Such models are useful for describing systems showing dynamic disorder, such as ion-conducting…
Copulas allow a flexible and simultaneous modeling of complicated dependence structures together with various marginal distributions. Especially if the density function can be represented as the product of the marginal density functions and…
Diffusion is a fundamental phenomenon that occurs ubiquitously in nature and remains the subject of continuous research interest. Understanding diffusion is a key to understanding leaving systems. In this Chapter, I discuss diffusion of…
In this paper we outline methodology to efficiently simulate (jump) diffusion bridge sample paths without discretisation error. We achieve this by considering the simulation of conditioned (jump) diffusion bridge sample paths in light of…
We consider the problem of simulating diffusion bridges, which are diffusion processes that are conditioned to initialize and terminate at two given states. The simulation of diffusion bridges has applications in diverse scientific fields…
We introduce a simple and efficient algorithm for diffusion in smoothed particle hydrodynamics (SPH) simulations and apply it to the problem of chemical mixing. Based on the concept of turbulent diffusion, we link the diffusivity of a…
We study the influence of the boundary conditions at the solid liquid interface on diffusion in a confined fluid. Using an hydrodynamic approach, we compute numerical estimates for the diffusion of a particle confined between two planes.…
Part I of this work [2] developed the exact diffusion algorithm to remove the bias that is characteristic of distributed solutions for deterministic optimization problems. The algorithm was shown to be applicable to a larger set of…