Sensitivity analysis of colored-noise-driven interacting particle systems.

We propose an efficient sensitivity analysis method for a wide class of colored-noise-driven interacting particle systems (IPSs). Our method is based on unperturbed simulations and significantly extends the Malliavin weight sampling method proposed by Szamel [Europhys. Lett.

Computing the diffusivity of a particle subject to dry friction with colored noise.

This paper considers the motion of an object subjected to a dry friction and an external random force. The objective is to characterize the role of the correlation time of the external random force. We develop efficient stochastic simulation methods for computing the diffusivity (the linear growth rate of the variance of the displacement) and other related quantities of interest when the external random force is white or colored.