Related papers: Particle Filters for Partially Observed Diffusions
We prove a sequence of limiting results about weakly dependent stationary and regularly varying stochastic processes in discrete time. After deducing the limiting distribution for individual clusters of extremes, we present a new type of…
This paper considers particle propagation in a cylindrical molecular communication channel, e.g. a simplified model of a blood vessel. Emitted particles are influenced by diffusion, flow, and a vertical force induced e.g. by gravity or…
Many natural and industrial systems involve particle-laden interfaces. Because interfacial particles prevent the coalescence and coarsening of drops, they hold promise for various applications requiring stable emulsions. Despite their…
The analysis of diffusion processes in real-world propagation scenarios often involves estimating variables that are not directly observed. These hidden variables include parental relationships, the strengths of connections between nodes,…
Time course measurement of single molecules on a cell surface provides detailed information on the dynamics of the molecules, which is otherwise inaccessible. To extract the quantitative information, single particle tracking (SPT) is…
Chemical reactions inside cells are generally considered to happen within fixed-size compartments. Needless to say, cells and their compartments are highly dynamic. Thus, such stringent assumptions may not reflect biochemical reality, and…
In recent work it is shown that importance sampling can be avoided in the particle filter through an innovation structure inspired by traditional nonlinear filtering combined with Mean-Field Game formalisms. The resulting feedback particle…
In this paper, we introduce a new method of sampling from transition densities of diffusion processes including those unknown in closed forms by solving a partial differential equation satisfied by the quotient of transition densities. We…
We consider particle filters with weakly informative observations (or `potentials') relative to the latent state dynamics. The particular focus of this work is on particle filters to approximate time-discretisations of continuous-time…
Efficiently solving the continuous-time signal and discrete-time observation filtering problem for chaotic dynamical systems presents unique challenges in that the advected distribution between observations may encounter a separatrix…
The aim of this article is to provide a scheme for simulating diffusion processes evolving in one-dimensional discontinuous media. This scheme does not rely on smoothing the coefficients that appear in the infinitesimal generator of the…
The effect of particle-nonconserving processes on the steady state of driven diffusive systems is studied within the context of a generalized ABC model. It is shown that in the limit of slow nonconserving processes, the large deviation…
We develop an immersed-boundary approach to modeling reaction-diffusion processes in dispersions of reactive spherical particles, from the diffusion-limited to the reaction-limited setting. We represent each reactive particle with a…
The objective of this paper is to study the filtering problem for a system of partially observable processes $(X, Y)$, where $X$ is a non-Markovian pure-jump process representing the signal and $Y$ is a general jump-diffusion which provides…
In this paper we address the problem of estimating the posterior distribution of the static parameters of a continuous time state space model with discrete time observations by an algorithm that combines the Kalman filter and a particle…
We provide a rigorous derivation of a quantum filter for the case of multiple measurements being made on a quantum system. We consider a class of measurement processes which are functions of bosonic field operators, including combinations…
Diffusion models offer stable training and state-of-the-art performance for deep generative modeling tasks. Here, we consider their use in the context of multivariate subsurface modeling and probabilistic inversion. We first demonstrate…
In this paper, we study formal synthesis of control policies for partially observed jump-diffusion systems against complex logic specifications. Given a state estimator, we utilize a discretization-free approach for formal synthesis of…
We consider the discrete-time filtering problem in scenarios where the observation noise is low or degenerate. We focus on the case where the observation equation is a linear function of the state and the data involve additive noise.…
Fisher waves have been studied recently in the specific case of diffusion-limited reversible coalescence, A+A<-->A, on the line. An exact analysis of the particles concentration showed that waves propagate from a stable region to an…