Related papers: A stochastic approximation scheme and convergence …
In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We…
Chemical reactions inside cells are generally considered to happen within fixed-size compartments. Needless to say, cells and their compartments are highly dynamic. Thus, such stringent assumptions may not reflect biochemical reality, and…
A fully discrete finite difference scheme for stochastic reaction-diffusion equations driven by a $1+1$-dimensional white noise is studied. The optimal strong rate of convergence is proved without posing any regularity assumption on the…
Problems of particle dynamics involving unsteady Stokes flows in confined geometries are typically harder to solve than their steady counterparts. Approximation techniques are often the only resort. Felderhof (see e.g. 2005, 2009b) has…
We consider a generic and explicit tamed Euler--Maruyama scheme for multidimensional time-inhomogeneous stochastic differential equations with multiplicative Brownian noise. The diffusive coefficient is uniformly elliptic, H\"older…
We explore properties the solution of Langevin equation when stochastic influence is orthogonal to velocity of a particle. Wiener's process can accept unlimited values. But for these equations, the attraction surfaces exist. For these…
We propose numerical schemes that enable the application of particle methods for advection problems in general bounded domains. These schemes combine particle fields with Cartesian tensor product splines and a fictitious domain approach.…
Irreversible random sequential deposition of interacting particles is widely used to model aggregation phenomena in physical, chemical, and biophysical systems. We show that in one dimension the exact time dependent solution of such…
We study a system of stochastic differential equations with singular drift which describes the dynamics of signed particles in two dimensions interacting by the Coulomb potential. In contrast to the well-studied cases of identical particles…
In this work, we derive particle schemes, based on micro-macro decomposition, for linear kinetic equations in the diffusion limit. Due to the particle approximation of the micro part, a splitting between the transport and the collision part…
We describe in this paper an optimal control strategy for shaping a large-scale swarm of particles using boundary global actuation. This problem arises as a key challenge in many swarm robotics applications, especially when the robots are…
We present new algorithms and fast implementations to find efficient approximations for modelling stochastic processes. For many numerical computations it is essential to develop finite approximations for stochastic processes. While the…
A general formalism is developed to construct a Markov chain model that converges to a one-dimensional map in the infinite population limit. Stochastic fluctuations are therefore internal to the system and not externally specified. For…
We determine filtering and master equations for a quantum system interacting with wave packet of light in a continuous-mode squeezed number state. We formulate the problem of conditional evolution of a quantum system making use of model of…
We study numerical computation of conformal invariants of domains in the complex plane. In particular, we provide an algorithm for computing the conformal capacity of a condenser. The algorithm applies for wide kind of geometries: domains…
Stochastic simulation methods can be applied successfully to model exact spatio-temporally resolved reaction-diffusion systems. However, in many cases, these methods can quickly become extremely computationally intensive with increasing…
A system of stochastic differential equations describing diffusive phenomena, which has arbitrary friction depending on both state and distribution is investigated. The Smoluchowski-Kramers approximation is seen to describe dynamics in the…
This thesis includes analysis of disordered spin ensembles corresponding to Exact Cover, a multi-access channel problem, and composite models combining sparse and dense interactions. The satisfiability problem in Exact Cover is addressed…
A theory of structure is formulated for systems of many structureless classical particles with stable local interactions in Euclidean space. Such systems are shown to have their structure in thermodynamic equilibrium determined exactly by a…
We consider a semi-discrete finite element approximation for a system consisting of the evolution of a planar curve evolving by forced curve shortening flow inside a given bounded domain $\Omega \subset \mathbb{R}^2$, such that the curve…