3 papers
math-ph2026
A PDE approach for the invariant measure of stochastic oscillators with hysteresis
Lihong Guo, Harry L. F. Ip, Mingyang Wang
This paper presents a PDE approach as an alternative to Monte Carlo simulations for computing the invariant measure of a white-noise-driven bilinear oscillator with hysteresis. Thi…
cond-mat.stat-mech2025
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…
math.PR2024
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…