相关论文: Joint density of a stable process and its supremum…
In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…
The spectral representation separates the contributions of geometrical arrangement (topology) and intrinsic constituent properties in a composite. The aim of paper is to present a numerical algorithm based on the Monte Carlo integration and…
Given a univariate polynomial, its abscissa is the maximum real part of its roots. The abscissa arises naturally when controlling linear differential equations. As a function of the polynomial coefficients, the abscissa is H{\"o}lder…
In multivariate or spatial extremes, inference for max-stable processes observed at a large collection of locations is among the most challenging problems in computational statistics, and current approaches typically rely on less expensive…
Uniform sampling and approximate counting are fundamental primitives for modern database applications, ranging from query optimization to approximate query processing. While recent breakthroughs have established optimal sampling and…
One of the main reasons for topological persistence being useful in data analysis is that it is backed up by a stability (isometry) property: persistence diagrams of $1$-parameter persistence modules are stable in the sense that the…
Estimating the density of a continuous random variable X has been studied extensively in statistics, in the setting where n independent observations of X are given a priori and one wishes to estimate the density from that. Popular methods…
This paper gives foundational results for the application of quasi-stationarity to Monte Carlo inference problems. We prove natural sufficient conditions for the quasi-limiting distribution of a killed diffusion to coincide with a target…
If $X$ is a stable process of index $\alpha\in(0,2)$ whose L\'{e}vy measure has density $cx^{-\alpha-1}$ on $(0,\infty)$, and $S_1=\sup_{0<t\leq1}X_t$, it is known that $P(S_1>x)\backsim A\alpha ^{-1}x^{-\alpha}$ as $x\to\infty$ and…
The purpose of this paper is to study the problem of estimating a compactly supported density of probability from noisy observations of its moments. In fact, we provide a statistical approach to the famous Hausdorff classical moment…
We prove upper bounds on the rate, called "mixing rate", at which the von Neumann entropy of the expected density operator of a given ensemble of states changes under non-local unitary evolution. For an ensemble consisting of two states,…
We propose and analyze an algorithm to approximate distribution functions and densities of perpetuities. Our algorithm refines an earlier approach based on iterating discretized versions of the fixed point equation that defines the…
There has been substantial interest in developing Markov chain Monte Carlo algorithms based on piecewise-deterministic Markov processes. However existing algorithms can only be used if the target distribution of interest is differentiable…
Computational formulations for large strain, polyconvex, nearly incompressible elasticity have been extensively studied, but research on enhancing solution schemes that offer better tradeoffs between accuracy, robustness, and computational…
We simulate structural phase behavior of polymer-grafted colloidal particles by molecular Monte Carlo technique. Interparticle potential, which has a finite repulsive square-step outside a rigid core of the colloid, was previously confirmed…
In this paper, we suggest a novel sampling method for Monte Carlo molecular simulations. In order to perform efficient sampling of molecular systems, it is advantageous to avoid extremely high energy configurations while also retaining the…
We establish strong invariance principles for sums of stationary and ergodic processes with nearly optimal bounds. Applications to linear and some nonlinear processes are discussed. Strong laws of large numbers and laws of the iterated…
Max-stable random sketches can be computed efficiently on fast streaming positive data sets by using only sequential access to the data. They can be used to answer point and Lp-norm queries for the signal. There is an intriguing connection…
An advantageous feature of piecewise constant policy timestepping for Hamilton-Jacobi-Bellman (HJB) equations is that different linear approximation schemes, and indeed different meshes, can be used for the resulting linear equations for…
Given a sample of independent and identically distributed random variables, a novel nonparametric maximum entropy method is presented to estimate the underlying continuous univariate probability density function (pdf). Estimates are found…