相关论文: Computing sensitivity coefficients in Brownian dyn…

In this study, we introduce a sensitivity analysis methodology for stochastic systems in chemistry, where dynamics are often governed by random processes. Our approach is based on gradient estimation via finite differences, averaging…

Bayesian methods have been very successful in quantifying uncertainty in physics-based problems in parameter estimation and prediction. In these cases, physical measurements y are modeled as the best fit of a physics-based model…

We present a new method for sampling stochastic displacements in Brownian Dynamics (BD) simulations of colloidal scale particles. The method relies on a new formulation for Ewald summation of the Rotne-Prager-Yamakawa (RPY) tensor, which…

For the Langevin model of the dynamics of a Brownian particle with perturbations orthogonal to its current velocity, in a regime when the particle velocity modulus becomes constant, an equation for the characteristic function $\psi…

Parameter sensitivity analysis is a powerful tool in the building and analysis of biochemical network models. For stochastic simulations, parameter sensitivity analysis can be computationally expensive, requiring multiple simulations for…

The Dynamic Monte Carlo (DMC) method is an established molecular simulation technique for the analysis of the dynamics in colloidal suspensions. An excellent alternative to Brownian Dynamics or Molecular Dynamics simulation, DMC is…

We compute Greeks for stochastic volatility models driven by Brownian informations. We use the Malliavin method introduced for deterministic volatility models.

We present a common framework for Bayesian emulation methodologies for multivariate-output simulators, or computer models, that employ either parametric linear models or nonparametric Gaussian processes. Novel diagnostics suitable for…

As an example for the fast calculation of distributional parameters of Gaussian processes, we propose a new Monte Carlo algorithm for the computation of quantiles of the supremum norm of weighted Brownian bridges. As it is known, the…

In this paper, based on a known formula, we use a simple idea to get a new representation for the density of Malliavin differentiable random variables. This new representation is particularly useful for finding lower bounds for the density.

Standard algorithms for the numerical integration of the Langevin equation require that interactions are slowly varying during to the integration timestep. This in not the case for hard-body systems, where there is no clearcut between the…

Brownian dynamics algorithms integrate numerically Langevin equations and allow to probe long time scales in simulations. A common requirement for such algorithms is that interactions in the system should vary little during an integration…

This work proposes a method for the two-dimensional simulation of Brownian particles in a fluid with restrictions. The method is based on simple numerical rules between two matrices. One of the matrix represent the identification of all…

We demonstrate how time-integration of stochastic differential equations (i.e. Brownian dynamics simulations) can be combined with continuum numerical bifurcation analysis techniques to analyze the dynamics of liquid crystalline polymers…

We derive consistent and asymptotically normal estimators for the drift and volatility parameters of the stochastic heat equation driven by an additive space-only white noise when the solution is sampled discretely in the physical domain.…

We present a new and improved method for simultaneous control of temperature and pressure in molecular dynamics simulations with periodic boundary conditions. The thermostat-barostat equations are build on our previously developed…

A wide variety of numerical methods are evaluated and compared for solving the stochastic differential equations encountered in molecular dynamics. The methods are based on the application of deterministic impulses, drifts, and Brownian…

An ongoing challenge in animal ecology is developing movement models that account for the autocorrelation, and often temporal irregularity, in telemetry data. Continuous-time Langevin diffusion models have been proposed to model temporally…

Calibration of large-scale differential equation models to observational or experimental data is a widespread challenge throughout applied sciences and engineering. A crucial bottleneck in state-of-the art calibration methods is the…

Approximate Bayesian computation methods can be used to evaluate posterior distributions without having to calculate likelihoods. In this paper we discuss and apply an approximate Bayesian computation (ABC) method based on sequential Monte…