相关论文: A variational characterization of Langevin$\boldsy…

McDonald and Clerk [Phys.\ Rev.\ Research 5, 033107 (2023)] showed that for linear open quantum systems the Liouvillian spectrum is independent of the noise strength. We first make this noise-independence principle precise in continuous…

A model has two main aims: predicting the behavior of a physical system and understanding its nature, that is how it works, at some desired level of abstraction. A promising recent approach to model building consists in deriving a…

We consider the setting of multiscale overdamped Langevin stochastic differential equations, and study the problem of learning the drift function of the homogenized dynamics from continuous-time observations of the multiscale system. We…

We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…

We study the convergence to equilibrium of an underdamped Langevin equation that is controlled by a linear feedback force. Specifically, we are interested in sampling the possibly multimodal invariant probability distribution of a Langevin…

A new methodology is presented for the construction of control variates to reduce the variance of additive functionals of Markov Chain Monte Carlo (MCMC) samplers. Our control variates are definedthrough the minimization of the asymptotic…

The stochastic motion in a nonhomogeneous medium with traps is studied and diffusion properties of that system are discussed. The particle is subjected to a stochastic stimulation obeying a general L\'evy stable statistics and experiences…

Motivated by entropic optimal transport, time reversal of diffusion processes is revisited. An integration by parts formula is derived for the carr\'e du champ of a Markov process in an abstract space. It leads to a time reversal formula…

We investigate a numerical behaviour of robust deterministic optimal control problem subject to a convection diffusion equation containing uncertain inputs. Stochastic Galerkin approach, turning the original optimization problem containing…

This paper investigates the exact controllability problem for multi-dimensional stochastic first-order symmetric hyperbolic systems with control inputs acting in two distinct ways: an internal control applied to the diffusion term and a…

We develop a stochastic integration theory for predictable integrands with respect to a L\'evy basis. Our approach is based on decoupling inequalities for tangent sequences and reduces the construction of the stochastic integral essentially…

We consider the convergence of kinetic Langevin dynamics to its ergodic invariant measure, which is Gibbs distribution. Instead of the standard setup where the friction coefficient is a constant scalar, we investigate position-dependent…

Importance sampling is a widely used technique to reduce the variance of a Monte Carlo estimator by an appropriate change of measure. In this work, we study importance sam- pling in the framework of diffusion process and consider the change…

Classically, the continuous-time Langevin diffusion converges exponentially fast to its stationary distribution $\pi$ under the sole assumption that $\pi$ satisfies a Poincar\'e inequality. Using this fact to provide guarantees for the…

The Smoluchowski equation with a time dependent sink term is solved exactly. In this method by knowing the probability distribution at the origin P(0,s), one may derive the probability distribution at all positions i.e., P(x,s). Further the…

Einstein-Smoluchowski diffusion, damped harmonic oscillations, and spatial decoherence are special cases of an elegant class of Markovian quantum Brownian motion models that is invariant under linear symplectic transformations. Here we…

The entropy production rate is a central quantity in non-equilibrium statistical physics, scoring how far a stochastic process is from being time-reversible. In this paper, we compute the entropy production of diffusion processes at…

In this paper we introduce and analyse Langevin samplers that consist of perturbations of the standard underdamped Langevin dynamics. The perturbed dynamics is such that its invariant measure is the same as that of the unperturbed dynamics.…

We propose a new simple and explicit numerical scheme for time-homogeneous stochastic differential equations. The scheme is based on sampling increments at each time step from a skew-symmetric probability distribution, with the level of…

Statistics of molecular random walks in a fluid is considered with the help of the Bogolyubov equation for generating functional of distribution functions. An invariance group of solutions to this equation as functions of the fluid density…