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Diffusions with a nonlinear irregular drift coefficient and probabilistic interpretation of generalized Burgers' equations

Benjamin Jourdain — 2010

ESAIM: Probability and Statistics

We prove existence and uniqueness for two classes of martingale problems involving a nonlinear but bounded drift coefficient. In the first class, this coefficient depends on the time , the position and the marginal of the solution at time . In the second, it depends on , and , the density of the time marginal w.r.t. Lebesgue measure. As far as the dependence on and is concerned, no continuity assumption is made. The results, first proved for the identity diffusion matrix, are extended...

Existence, uniqueness and convergence of a particle approximation for the Adaptive Biasing Force process

Benjamin JourdainTony LelièvreRaphaël Roux — 2010

ESAIM: Mathematical Modelling and Numerical Analysis

We study a free energy computation procedure, introduced in [Darve and Pohorille, (2001) 9169–9183; Hénin and Chipot, (2004) 2904–2914], which relies on the long-time behavior of a nonlinear stochastic differential equation. This nonlinearity comes from a conditional expectation computed with respect to one coordinate of the solution. The long-time convergence of the solutions to this equation has been proved in [Lelièvre , (2008) 1155–1181],...

Diffusion Monte Carlo method: Numerical Analysis in a Simple Case

Mohamed El MakriniBenjamin JourdainTony Lelièvre — 2007

ESAIM: Mathematical Modelling and Numerical Analysis


The Diffusion Monte Carlo method is devoted to the computation of electronic ground-state energies of molecules. In this paper, we focus on implementations of this method which consist in exploring the configuration space with a fixed number of random walkers evolving according to a stochastic differential equation discretized in time. We allow stochastic reconfigurations of the walkers to reduce the discrepancy between the weights that they carry. On a simple one-dimensional example, we prove...

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