相关论文: Computing sensitivity coefficients in Brownian dyn…
Malliavin weight sampling (MWS) is a stochastic calculus technique for computing the derivatives of averaged system properties with respect to parameters in stochastic simulations, without perturbing the system's dynamics. It applies to…
In this paper we derive tractable formulae for price sensitivities of two-dimensional spread options using Malliavin calculus. In particular, we consider spread options with asset dynamics driven by geometric Brownian motion and stochastic…
In this article, we focus on the sampling of the configurational Gibbs-Boltzmann distribution, that is, the calculation of averages of functions of the position coordinates of a molecular $N$-body system modelled at constant temperature. We…
We provide an algorithm based on weighted-ensemble (WE) methods, to accurately sample systems at steady state. Applying our method to different one- and two-dimensional models, we succeed to calculate steady state probabilities of order…
Malliavin calculus is a powerful and general framework for the analysis of square-integrable random variables, but it often suffers from a lack of tractability and explicit representations. To address this limitation, we focus on a subclass…
We design a numerical scheme for solving a Dynamic Programming equation with Malliavin weights arising from the time-discretization of backward stochastic differential equations with the integration by parts-representation of the…
We introduce a new method to accurately and efficiently estimate the effective dynamics of collective variables in molecular simulations. Such reduced dynamics play an essential role in the study of a broad class of processes, ranging from…
Stochastic models of varying complexity have been proposed to describe the dispersion of particles in turbulent flows, from simple Brownian motion to complex temporally and spatially correlated models. A method is needed to compare…
We present a method for the evaluation of time-dependent linear response functions for systems of active Ornstein-Uhlenbeck particles from unperturbed simulations. The method is inspired by the Malliavin weights sampling method proposed by…
We address the problem of estimating the drift parameter in a system of $N$ interacting particles driven by additive fractional Brownian motion of Hurst index \( H \geq 1/2 \). Considering continuous observation of the interacting particles…
We develop two-dimensional Brownian dynamics simulations to examine the motion of disks under thermal fluctuations and Hookean forces. Our simulations are designed to be experimental-like, since the experimental conditions define the…
In this paper, we use Malliavin calculus to show the existence and continuity of density functions of $d$-dimensional non-colliding particle systems such as hyperbolic particle systems and Dyson Brownian motion with smooth drift. For this…
Brownian Dynamics simulations are an important tool for modeling the dynamics of soft matter. However, accurate and rapid computations of the hydrodynamic interactions between suspended, microscopic components in a soft material is a…
Magnetic nanoparticles are useful in many medical applications because they interact with biology on a cellular level thus allowing microenvironmental investigation. An enhanced understanding of the dynamics of magnetic particles may lead…
Computer experiments are becoming increasingly important in scientific investigations. In the presence of uncertainty, analysts employ probabilistic sensitivity methods to identify the key-drivers of change in the quantities of interest.…
Brownian dynamics of colloidal particles on complex surfaces has found important applications in diverse physical, chemical and biological processes. However, current Brownian dynamics simulation algorithms mostly work for relatively simple…
We present a numerical scheme for simulating the dynamics of Brownian particles suspended in a fluid. The motion of the particles is tracked by the Langevin equation, whereas the host fluid flow is analyzed by using the lattice Boltzmann…
In this paper, we describe an explicit extension formula in sensitivity analysis regarding the Malliavin weight for jump-diffusion mean-field stochastic differential equations whose local Lipschitz drift coefficients are influenced by the…
We propose an efficient sensitivity analysis method for a wide class of colored noise-driven interacting particle systems (IPS). Our method is based on unperturbed simulations and significantly extends the Malliavin weight sampling method…
Numerical algorithms are proposed for simulating the Brownian dynamics of charged particles in an external magnetic field, taking into account the Brownian motion of charged particles, damping effect and the effect of magnetic field…