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作者：Du, Qiming; Guyader, Arnaud
作者单位：Universite Paris Cite; Sorbonne Universite; Institut Polytechnique de Paris; Ecole Nationale des Ponts et Chaussees; Sorbonne Universite
摘要：Sequential Monte Carlo (SMC) methods represent a classical set of techniques to simulate a sequence of probability measures through a simple selection/mutation mechanism. However, the associated selection functions and mutation kernels usually depend on tuning parameters that are of first importance for the efficiency of the algorithm. A standard way to address this problem is to apply adaptive sequential Monte Carlo (ASMC) methods, which consist in exploiting the information given by the hist...
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作者：Bielecki, Tomasz R.; Jakubowski, Jacek; Jeanblanc, Monique; Nieweglowski, Mariusz
作者单位：Illinois Institute of Technology; University of Warsaw; Universite Paris Saclay; Warsaw University of Technology
摘要：We consider a complete probability space (Omega, F, P), which is endowed with two filtrations, G and F, assumed to satisfy the usual conditions and such that F subset of G. On this probability space we consider a real valued Gsemimartingale X. The purpose of this work is to study the following two problems: A. If X is F-adapted, compute the F-semimartingale characteristics of X in terms of the G-semimartingale characteristics of X. B. If X is a special G-semimartingale but not F-adapted, compu...
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作者：McVinish, Ross; Hodgkinson, Liam
作者单位：University of Queensland
摘要：Tau leaping is a popular method for performing fast approximate simulation of certain continuous time Markov chain models typically found in chemistry and biochemistry. This method is known to perform well when the transition rates satisfy some form of scaling behaviour. In a similar spirit to tau leaping, we propose a new method for approximate simulation of spin systems which approximates the evolution of spin at each site between sampling epochs as an independent two-state Markov chain. Whe...
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作者：Chen, Xin; Kumagai, Takashi; Wang, Jian
作者单位：Shanghai Jiao Tong University; Kyoto University; Fujian Normal University; Fujian Normal University; Fujian Normal University
摘要：We study the quenched invariance principle for random conductance models with long range jumps on Z(d), where the transition probability from x to y is, on average, comparable to vertical bar x - y vertical bar(-(d+alpha)) with alpha is an element of (0, 2) but is allowed to be degenerate. Under some moment conditions on the conductance, we prove that the scaling limit of the Markov process is a symmetric alpha-stable Levy process on R-d. The well-known corrector method in homogenization theor...
