49 citations · 150 across the 15 of their papers we have counts for
11 papers · 1 filter
A pseudo-reversible normalizing flow for stochastic dynamical systems with various initial distributions
Minglei Yang, Pengjun Wang, Diego del-Castillo-Negrete +2
We present a pseudo-reversible normalizing flow method for efficiently generating samples of the state of a stochastic differential equation (SDE) with different initial distributi…
Convergence Analysis for Training Stochastic Neural Networks via Stochastic Gradient Descent
Richard Archibald, Feng Bao, Yanzhao Cao +1
In this paper, we carry out numerical analysis to prove convergence of a novel sample-wise back-propagation method for training a class of stochastic neural networks (SNNs). The st…
Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations
Fengshan Zhang, Yongkui Zou, Shimin Chai +1
In this paper, we consider a nonlinear filtering model with observations driven by correlated Wiener processes and point processes. We first derive a Zakai equation whose solution…
A probabilistic scheme for semilinear nonlocal diffusion equations with volume constraints
Minglei Yang, Guannan Zhang, Diego Del-Castillo-Negrete +1
This work presents a probabilistic scheme for solving semilinear nonlocal diffusion equations with volume constraints and integrable kernels. The nonlocal model of interest is defi…
Fast and accurate domain decomposition methods for reduced fracture models with nonconforming time grids
Phuoc-Toan Huynh, Yanzhao Cao, Thi-Thao-Phuong Hoang
This paper is concerned with the numerical solution of compressible fluid flow in a fractured porous medium. The fracture represents a fast pathway (i.e., with high permeability) a…
Solving Backward Doubly Stochastic Differential Equations through Splitting Schemes
Feng Bao, Yanzhao Cao, He Zhang
A splitting scheme for backward doubly stochastic differential equations is proposed. The main idea is to decompose a backward doubly stochastic differential equation into a backwa…