相关论文: Instanton-based Importance Sampling for Extreme Fl…

Extreme value analysis is an essential methodology in the study of rare and extreme events, which hold significant interest in various fields, particularly in the context of environmental sciences. Models that employ the exceedances of…

Large deviation theory and instanton calculus for stochastic systems are widely used to gain insight into the evolution and probability of rare events. At its core lies the realization that rare events are, under the right circumstances,…

We investigate the statistical properties, based on numerical simulations and analytical calculations, of a recently proposed stochastic model for the velocity field of an incompressible, homogeneous, isotropic and fully developed turbulent…

A path integral over trajectories of $2n$ fluid particles is identified with a $2n$-th order correlation function of a passive scalar convected by $d$-dimensional short-correlated multi-scale incompressible random velocity flow. Strong…

We describe a method to extract from experimental data the important dynamical modes in spatio-temporal patterns in a system driven out of thermodynamic equilibrium. Using a novel optical technique for controlling fluid flow, we create an…

We analyze the phenomenon of spontaneous stochasticity in fluid dynamics formulated as the nonuniqueness of solutions resulting from viscosity at infinitesimal scales acting through intermediate on large scales of the flow. We study the…

Reproducing complex phenomena with simple models marks our understanding of the phenomena themselves and this is what Jack Herring's work demonstrated multiple times. In that spirit, this work studies a turbulence shell model consisting of…

The aim of this paper is to introduce a new Monte Carlo method based on importance sampling techniques for the simulation of stochastic differential equations. The main idea is to combine random walk on squares or rectangles methods with…

Ring-polymer instanton theory has been developed to simulate the quantum dynamics of molecular systems at low temperatures. Chemical reaction rates can be obtained by locating the dominant tunneling pathway and analyzing fluctuations around…

We develop an inertial coupling method for modeling the dynamics of point-like 'blob' particles immersed in an incompressible fluid, generalizing previous work for compressible fluids. The coupling consistently includes excess (positive or…

A standard approach to investigate the non-perturbative QCD dynamics is through vacuum models which emphasize the role played by specific gauge field fluctuations, such as instantons, monopoles or vortexes. The effective Hamiltonian…

Current fluctuations in boundary-driven diffusive systems are, in many cases, studied using hydrodynamic theories. Their predictions are then expected to be valid for currents which scale inversely with the system size. To study this…

Driven by applications in telecommunication networks, we explore the simulation task of estimating rare event probabilities for tandem queues in their steady state. Existing literature has recognized that importance sampling methods can be…

In recent years, instanton calculus has successfully been employed to estimate tail probabilities of rare events in various stochastic dynamical systems. Without further corrections, however, these estimates can only capture the exponential…

Turbulent flow remains a challenging subject, despite extensive efforts to find analytical descriptions. Modeling small scales of motion is crucial for saving time and resources in numerical simulations, particularly in industrial…

This paper investigates asymptotically optimal importance sampling (IS) schemes for pricing European call options under the Heston stochastic volatility model. We focus on two distinct rare-event regimes where standard Monte Carlo methods…

We develop and analyze a random field model for the reconstruction of turbulent velocity fluctuations from inhomogeneous characteristic flow quantities provided by RANS simulations that is accessible to both a rigorous analytical validation…

High-speed turbulent flows are encountered in most space-related applications (including exploration, tourism and defense fields) and represent a subject of growing interest in the last decades. A major challenge in performing high-fidelity…

Accurate estimation of the frequency and magnitude of successive extreme events in energy demand is critical for strategic resource planning. Traditional approaches based on extreme value theory (EVT) are typically limited to modelling…

Power grid expansion planning requires making large investment decisions in the present that will impact the future cost and reliability of a system exposed to wide-ranging uncertainties. Extreme temperatures can pose significant challenges…