Related papers: Filtration shrinkage by level-crossings of a diffu…
We consider a recursive algorithm to construct an aggregated estimator from a finite number of base decision rules in the classification problem. The estimator approximately minimizes a convex risk functional under the l1-constraint. It is…
Score diffusion methods can learn probability densities from samples. The score of the noise-corrupted density is estimated using a deep neural network, which is then used to iteratively transport a Gaussian white noise density to a target…
We characterise probability distributions via a martingale property associated with a natural generalisation of record values, known as $\delta$-records. For an independent and identically distributed sequence $(X_n)$ with running maximum…
Stochastic reaction-diffusion models can be analytically studied on complex networks using the linear noise approximation. This is illustrated through the use of a specific stochastic model, which displays traveling waves in its…
Diffusion on a T fractal lattice under the influence of topological biasing fields is studied by finite size scaling methods. This allows to avoid proliferation and singularities which would arise in a renormalization group approach on…
Inferring a diffusion equation from discretely-observed measurements is a statistical challenge of significant importance in a variety of fields, from single-molecule tracking in biophysical systems to modeling financial instruments.…
We introduce a methodology for performing parameter inference in high-dimensional, non-linear diffusion processes. We illustrate its applicability for obtaining insights into the evolution of and relationships between species, including…
This paper is concerned with differentiable resampling in the context of sequential Monte Carlo (e.g., particle filtering). Drawing on reparametrisation, we propose a new resampling method that is informative and instantly differentiable,…
We establish a local martingale $M$ associate with $f(X,Y)$ under some restrictions on $f$, where $Y$ is a process of bounded variation (on compact intervals) and either $X$ is a jump diffusion (a special case being a L\'evy process) or $X$…
This work is concerned with the theory of initial and progressive enlargements of a reference filtration F with a random time {\tau}. We provide, under an equivalence assumption, slightly stronger than the absolute continuity assumption of…
A finite-time fluctuation theorem is proved for the diffusion-influenced surface reaction A<->B in a domain with any geometry where the species A and B undergo diffusive transport between the reservoir and the catalytic surface. A…
We construct diffusions with values in the nonnegative orthant, normal reflection along each of the axes, and two pairs of local drift/variance characteristics assigned according to rank; one of the variances is allowed to vanish, but not…
We obtain functional central limit theorems for both discrete time expressions of the form $1/\sqrt{N}\sum_{n=1}^{[Nt]}(F(X(q_1(n)),\ldots, X(q_{\ell}(n)))-\bar{F})$ and similar expressions in the continuous time where the sum is replaced…
This paper considers the nonlinear theory of G-martingales as introduced by Peng. A martingale representation theorem for this theory is proved by using the techniques and the results established in an accompanying paper for the second…
For a spatial characteristic, there exist commonly fat-tail frequency distributions of fragment-size and -mass of glass, areas enclosed by city roads, and pore size/volume in random packings. In order to give a new analytical approach for…
The article considers parameter estimation constructing such as quasi-maximum likelyhood estimation and one step estimation in statistical models generated by solution of stochastic differential equation. It has been developed a software…
We present a three-dimensional model, based on cohesive spherical particles, of rain-induced landslides. The rainwater infiltration into the soil follow the either the fractional or the fractal diffusion equations. We solve analytically the…
Consider estimating the n by p matrix of means of an n by p matrix of independent normally distributed observations with constant variance, where the performance of an estimator is judged using a p by p matrix quadratic error loss function.…
Fractional equations have become the model of choice in several applications where heterogeneities at the microstructure result in anomalous diffusive behavior at the macroscale. In this work we introduce a new fractional operator…
We derive deterministic criteria for the existence and non-existence of equivalent (local) martingale measures for financial markets driven by multi-dimensional time-inhomogeneous diffusions. Our conditions can be used to construct…