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math.NA2025
Hierarchical Importance Sampling for Estimating Occupation Time for SDE Solutions
Eya Ben Amar, Nadhir Ben Rached, Raul Tempone
This study considers the estimation of the complementary cumulative distribution function of the occupation time (i.e., the time spent below a threshold) for a process governed by…
math.NA2025
Filtered Markovian Projection: Dimensionality Reduction in Filtering for Stochastic Reaction Networks
Chiheb Ben Hammouda, Maksim Chupin, Sophia Münker +1
Stochastic reaction networks (SRNs) model stochastic effects for various applications, including intracellular chemical or biological processes and epidemiology. A typical challeng…
math.NA2024
Forward Propagation of Low Discrepancy Through McKean-Vlasov Dynamics: From QMC to MLQMC
Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Raúl Tempone +1
This work develops a particle system addressing the approximation of McKean-Vlasov stochastic differential equations (SDEs). The novelty of the approach lies in involving low discr…