5 papers
Controllability and Exponential Mixing in Singular Interacting Particle Systems
Laurent Mertz, Vahagn Nersesyan, Manuel Rissel
This article concerns interacting particle systems with singular kernels, driven either by degenerate deterministic controls or by degenerate decomposable noise. In the determinist…
A control variate method based on polynomial approximation of Brownian path
Josselin Garnier, Laurent Mertz
We present a novel control variate technique for enhancing the efficiency of Monte Carlo (MC) estimation of expectations involving solutions to stochastic differential equations (S…
A control variate method for threshold crossing probabilities of plastic deformation driven by transient coloured noise
Harry L. F. Ip, Charlie Mathey, Laurent Mertz +1
We propose a hybrid method combining partial differential equation (PDE) and Monte Carlo (MC) techniques to obtain efficient estimates of statistics for plastic deformation related…
Sensitivity analysis of colored noise-driven interacting particle systems
Josselin Garnier, Harry L. F. Ip, Laurent Mertz
We propose an efficient sensitivity analysis method for a wide class of colored noise-driven interacting particle systems (IPS). Our method is based on unperturbed simulations and…
Exponential mixing of constrained random dynamical systems via controllability conditions
Laurent Mertz, Vahagn Nersesyan, Manuel Rissel
We provide deterministic controllability conditions that imply exponential mixing properties for randomly forced constrained dynamical systems with possibly unbounded state space.…