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Hitting time behavior for the solution of a stochastic differential equation
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Technical Report -
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Quasi-potential analysis of multi-variate stochastic differential equations
Published 2022“…Then, I derive the sources of noise and stochasticity based on basic probability theory. Stochastic differential equations are derived for these systems. …”
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Model reduction for a class of singularly perturbed stochastic differential equations
Published 2017“…A class of singularly perturbed stochastic differential equations (SDE) with linear drift and nonlinear diffusion terms is considered. …”
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A Koopman framework for rare event simulation in stochastic differential equations
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Model reduction for a class of singularly perturbed stochastic differential equations: Fast variable approximation
Published 2017“…We consider a class of stochastic differential equations in singular perturbation form, where the drift terms are linear and diffusion terms are nonlinear functions of the state variables. …”
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Deterministic-Like Model Reduction for a Class of Multi-Scale Stochastic Differential Equations with Application to Biomolecular Systems
Published 2018“…We consider a class of singularly perturbed stochastic differential equations with linear drift terms, and present a reduced-order model that approximates both slow and fast variable dynamics when the time-scale separation is large. …”
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Reduced basis techniques for stochastic problems
Published 2011“…Sci., 2009, which uses a RB type approach to reduce the variance in the Monte-Carlo simulation of a stochastic differential equation. We conclude the review with some general comments and also discuss possible tracks for further research in the direction.…”
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Anisotropic (2+1)d growth and Gaussian limits of q-Whittaker processes
Published 2018“…By considering certain Gaussian stochastic differential equation limits of the model we are able to prove a space-time limit of covariances to those of the (2 + 1)-dimensional additive stochastic heat equation (or Edwards-Wilkinson equation) along characteristic directions. …”
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Förster resonance energy transfer, absorption and emission spectra in multichromophoric systems. III. Exact stochastic path integral evaluation
Published 2017“…A numerically exact path integral treatment of the absorption and emission spectra of open quantum systems is presented that requires only the straightforward solution of a stochastic differential equation. The approach converges rapidly enabling the calculation of spectra of large excitonic systems across the complete range of system parameters and for arbitrary bath spectral densities. …”
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Dimension-independent likelihood-informed MCMC
Published 2018“…Second, by exploiting local Hessian information and any associated low-dimensional structure in the change from prior to posterior distributions, we develop an inhomogeneous discretization scheme for the Langevin stochastic differential equation that yields operator-weighted proposals adapted to the non-Gaussian structure of the posterior. …”
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Continuous Stochastic Cellular Automata that Have a Stationary Distribution and No Detailed Balance
Published 2004“…We characterize sufficient properties of a sub-class of stochastic differential equations in terms of the associated Fokker-Planck equation for the existence of an asymptotic probability distribution in the system of coordinates which is given. …”
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Interacting particle systems at the edge of multilevel Dyson Brownian motions
Published 2019“…Keywords: Beta random matrix models; Dyson Brownian motions; Interacting particle systems with local interactions; Minors of random matrices; Singular stochastic differential equations…”
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