相关论文: The Euler-Maruyama approximation for the absorptio…

We consider the problem of Bayesian inference for bi-variate data observed in time but with observation times which occur non-synchronously. In particular, this occurs in a wide variety of applications in finance, such as high-frequency…

We develop a technique of multiple scale asymptotic expansions along mean flows and a corresponding notion of weak multiple scale convergence. These are applied to homogenize convection dominated parabolic equations with rapidly…

A general analytic solution to the fractional advection diffusion equation is obtained in plane parallel geometry. The result is an infinite series of spatial Fourier modes which decay according to the Mittag-Leffler function, which is cast…

We analyze and compare the computational complexity of different simulation strategies for Monte Carlo in the setting of classically scaled population processes. This allows a range of widely used competing strategies to be judged…

This paper considers a class of probabilistic cellular automata undergoing a phase transition with an absorbing state. Denoting by ${\mathcal{U}}(x)$ the neighbourhood of site $x$, the transition probability is $T(\eta_x = 1 |…

We propose a formulation of an absorbing boundary for a quantum particle. The formulation is based on a Feynman-type integral over trajectories that are confined by the absorbing boundary. Trajectories that reach the absorbing wall are…

The efficient management of large-scale queueing networks is critical for a variety of sectors, including healthcare, logistics, and customer service, where system performance has profound implications for operational effectiveness and cost…

In finite-volume-based flow simulations, absorbing layers are widely used to reduce pressure wave reflections at boundaries of the computational domain. A disadvantage of absorbing layers is that they contain case-dependent parameters; thus…

In this paper we present a novel method for estimating the parameters of a parametric diffusion processes. Our approach is based on a closed-form Maximum Likelihood estimator for an approximating Continuous Time Markov Chain (CTMC) of the…

Consider the following stochastic differential equation (SDE) $$dX_t = b(t,X_{t-}) \, dt+ dL_t, \quad X_0 = x,$$ driven by a $d$-dimensional L\'evy process $(L_t)_{t \geq 0}$. We establish conditions on the L\'evy process and the drift…

We address here the discretization of the momentum convection operator for fluid flow simulations on 2D triangular and quadrangular meshes and 3D polyhedral meshes containing hexahedra, tetrahedra, prisms and pyramids. The finite volume…

The dissipation of general convex entropies for continuous time Markov processes can be described in terms of backward martingales with respect to the tail filtration. The relative entropy is the expected value of a backward submartingale.…

The numerical analysis of elastic wave propagation in unbounded media may be difficult due to spurious waves reflected at the model artificial boundaries. This point is critical for the analysis of wave propagation in heterogeneous or…

A time-stepping L1 scheme for subdiffusion equation with a Riemann--Liouville time-fractional derivative is developed and analyzed. This is the first paper to show that the L1 scheme for the model problem under consideration is second-order…

This work develops Monte Carlo Euler adaptive time stepping methods for the weak approximation problem of jump diffusion driven stochastic differential equations. The main result is the derivation of a new expansion for the omputational…

The aim of this article is to provide a scheme for simulating diffusion processes evolving in one-dimensional discontinuous media. This scheme does not rely on smoothing the coefficients that appear in the infinitesimal generator of the…

We prove a global asymptotic equivalence of experiments in the sense of Le Cam's theory. The experiments are a continuously observed diffusion with nonparametric drift and its Euler scheme. We focus on diffusions with nonconstant-known…

It is proposed to use stochastic differential equations with state-dependent switching rates (SDEwS) for sampling from finite mixture distributions. An Euler scheme with constant time step for SDEwS is considered. It is shown that the…

We study the distribution of the time to explosion for one-dimensional diffusions. We relate this question to computing the expectations of suitable nonnegative local martingales, and to the distributions of related diffusions with unit…

In this paper continuous time random walk models approximating fractional space-time diffusion processes are studied. Stochastic processes associated with the considered equations represent time-changed processes, where the time-change…