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We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess all polynomial mom ...
Recent developments in information and communication technologies have been profound and life-changing. Most people are now equipped with smart phones with high computation power and communication capabilities. These devices can efficiently run multiple so ...
Probabilistic programming is a powerful high-level paradigm for probabilistic modeling and inference. We present Odds, a small domain-specific language (DSL) for probabilistic programming, embedded in Scala. Odds provides first-class support for random var ...
Many pharmaceutical products find their way into receiving waters, giving rise to concerns regarding their environmental impact. A procedure was proposed that enables ranking of the hazard to aquatic species and human health due to such products. In the pr ...
We consider the simple random walk on , d > 3, evolving in a potential of the form beta V, where are i.i.d. random variables taking values in [0, + a), and beta > 0. When the potential is integrable, the asymptotic behaviours as beta tends to 0 of the asso ...
In this work we consider the problem of approximating the statistics of a given Quantity of Interest (QoI) that depends on the solution of a linear elliptic PDE defined over a random domain parameterized by N random variables. The elliptic problem is remap ...
We study the single-phase flow in a saturated, bounded heterogeneous porous medium. We model the permeability as a log-normal random field. We perform a perturbation analysis, expanding the solution in Taylor series. The series is directly computable in th ...
We consider oscillators whose parameters randomly switch between two values at equal time intervals. If random switching is fast compared to the oscillator's intrinsic time scale, one expects the switching system to follow the averaged system, obtained by ...
We consider the capacity planning of telecommunications networks with linear investment costs and uncertain future traffic demands. Transmission capacities must be large enough to meet, with a high quality of service (QoS), the range of possible demands, a ...
Recent developments in information and communication technologies have been profound and life-changing. Most people are now equipped with smart phones with high computation power and communication capabilities. These devices can efficiently run multiple so ...
