相关论文: Stochastic analysis of different rough surfaces

The standard Black-Scholes theory of option pricing is extended to cope with underlying return fluctuations described by general probability distributions. A Langevin process and its related Fokker-Planck equation are devised to model the…

We study surface effects in amorphous polymer systems by means of computer simulation. In the framework of molecular dynamics, we present two different methods to prepare such surfaces. {\em Free} surfaces are stabilized solely by…

We solve the Chapman-Kolmogorov equation and study the exact splitting probabilities of the general stochastic process which describes polymer translocation through membrane pores within the broad class of Markov chains. Transition…

As a result of the application of a technique of multistep processes stochastic models construction the range of models, implemented as a self-consistent differential equations, was obtained. These are partial differential equations (master…

Modeling and simulating movement of vehicles in established transportation infrastructures, especially in large urban road networks is an important task. It helps with understanding and handling traffic problems, optimizing traffic…

Surface parametrization is a crucial part in various fields, having applications in computer graphic, medical imaging, scientific computing and computational engineering. The majority of surface parametrization approaches are performed on…

Accurately representing surface weather at the sub-kilometer scale is crucial for optimal decision-making in a wide range of applications. This motivates the use of statistical techniques to provide accurate and calibrated probabilistic…

Multi-type Markov point processes offer a flexible framework for modelling complex multi-type point patterns where it is pertinent to capture both interactions between points as well as large scale trends depending on observed covariates.…

We present a Hawkes modeling of the volatility surface's high-frequency dynamics and show how the Hawkes kernel coefficients govern the surface's skew and convexity. We provide simple sufficient conditions on the coefficients to ensure…

This paper concerns models and convergence principles for dealing with stochasticity in a wide range of algorithms arising in nonlinear analysis and optimization in Hilbert spaces. It proposes a flexible geometric framework within which…

Any performance analysis based on stochastic simulation is subject to the errors inherent in misspecifying the modeling assumptions, particularly the input distributions. In situations with little support from data, we investigate the use…

In this paper we contribute a novel algorithm family, which generalizes many unsupervised techniques including unnormalized and energy models, and allows us to infer different statistical modalities (e.g. data likelihood and ratio between…

This paper is devoted to the construction of structure preserving stochastic Galerkin schemes for Fokker-Planck type equations with uncertainties and interacting with an external distribution, that we refer to as a background distribution.…

How to distinguish and quantify deterministic and random influences on the statistics of turbulence data in meteorology cases is discussed from first principles. Liquid water path (LWP) changes in clouds, as retrieved from radio signals,…

Key challenges in the analysis of highly multivariate large-scale spatial stochastic processes, where both the number of components (p) and spatial locations (n) can be large, include achieving maximal sparsity in the joint precision…

Many problems in real-world applications involve predicting several random variables which are statistically related. Markov random fields (MRFs) are a great mathematical tool to encode such relationships. The goal of this paper is to…

Modeling and inferring spatial relationships and predicting missing values of environmental data are some of the main tasks of geospatial statisticians. These routine tasks are accomplished using multivariate geospatial models and the…

We consider minimization of stochastic functionals that are compositions of a (potentially) non-smooth convex function $h$ and smooth function $c$ and, more generally, stochastic weakly-convex functionals. We develop a family of stochastic…

Stochastic gradient Markov chain Monte Carlo (SG-MCMC) has been increasingly popular in Bayesian learning due to its ability to deal with large data. A standard SG-MCMC algorithm simulates samples from a discretized-time Markov chain to…

Modeling data with non-stationary covariance structure is important to represent heterogeneity in geophysical and other environmental spatial processes. In this work, we investigate a multistage approach to modeling non-stationary…