Related papers: Filtration shrinkage by level-crossings of a diffu…
Given a domain G, a reflection vector field d(.) on the boundary of G, and drift and dispersion coefficients b(.) and \sigma(.), let L be the usual second-order elliptic operator associated with b(.) and \sigma(.). Under suitable…
We consider a filtration $\mathbb{G}$ obtained as enlargement of a filtration $\mathbb{F}$ by a filtration $\mathbb{H}$. We assume that all $\mathbb{F}$-local martingales are represented by a martingale $M$ and all $\mathbb{H}$-local…
We present a finite element approach for diffusion problems with thermal fluctuations based on a fluctuating hydrodynamics model. The governing transport equations are stochastic partial differential equations with a fluctuating forcing…
Diffusion frameworks have achieved comparable performance with previous state-of-the-art image generation models. Researchers are curious about its variants in discriminative tasks because of its powerful noise-to-image denoising pipeline.…
Diffusion models are widely used for generative tasks across domains. Given a pre-trained diffusion model, it is often desirable to fine-tune it further either to correct for errors in learning or to align with downstream applications.…
This paper is the first part of a series of papers on filtering for partially observed jump diffusions satisfying a stochastic differential equation driven by Wiener processes and Poisson martingale measures. The coefficients of the…
Diffusion models are recent state-of-the-art methods for image generation and likelihood estimation. In this work, we generalize continuous-time diffusion models to arbitrary Riemannian manifolds and derive a variational framework for…
We present a concise, self-contained derivation of diffusion-based generative models. Starting from basic properties of Gaussian distributions (densities, quadratic expectations, re-parameterisation, products, and KL divergences), we…
We have established previously, in a lead-in study, that the spreading of liquids in particulate porous media at low saturation levels, characteristically less than 10% of the void space, has very distinctive features in comparison to that…
Given a real valued and time-inhomogeneous martingale diffusion X, we investigate the properties of functions defined by the conditional expectation f(t,X_t)=E[g(X_T)|F_t]. We show that whenever g is monotonic or Lipschitz continuous then…
Finding a sparse representation of a possibly noisy signal can be modeled as a variational minimization with l_q-sparsity constraints for q less than one. Especially for real-time, on-line, or iterative applications, in which problems of…
Using martingale theory, we compute, in very few lines, exact analytical expressions for various first-exit-time statistics associated with one-dimensional biased diffusion. Examples include the distribution for the first-exit time from an…
We present self-speculative masked diffusions, a new class of masked diffusion generative models for discrete data that require significantly fewer function evaluations to generate samples. Standard masked diffusion models predict…
The proposed model modifies option pricing formulas for the basic case of log-normal probability distribution providing correspondence to formulated criteria of efficiency and completeness. The model is self-calibrating by historic…
We consider the classical Shiryaev--Roberts martingale diffusion, $(R_t)_{t\ge0}$, restricted to the interval $[0,A]$, where $A>0$ is a preset absorbing boundary. We take yet another look at the well-known phenomenon of quasi-stationarity…
Three situations in which filtering theory is used in mathematical finance are illustrated at different levels of detail. The three problems originate from the following different works: 1) On estimating the stochastic volatility model from…
The scattering theory of the integrable statistical models can be generalized to the case of systems with extended lines of defect. This is done by adding the reflection and transmission amplitudes for the interactions with the line of…
We show that a one-dimensional regular continuous Markov process \(\X\) with scale function \(s\) is a Feller--Dynkin process precisely if the space transformed process \(s (X)\) is a martingale when stopped at the boundaries of its state…
We consider the problem of parameter estimation for a class of continuous-time state space models. In particular, we explore the case of a partially observed diffusion, with data also arriving according to a diffusion process. Based upon a…
We investigate non-equilibrium fluctuations of a solid surface governed by the stochastic Mullins-Herring equation with conserved noise. This equation describes surface diffusion of adatoms accompanied by their exchange between the surface…