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We present a proof for the existence and uniqueness of weak solutions for a cut-off and non cut-off model of non-linear diffusion equation in finite-dimensional space RD useful for modelling flows on porous medium with saturation, turbulent…
We deduce the asymptotic error distribution of the Euler method for the nonlinear filtering problem with continuous-time observations. Previous works by several authors have shown that the error structure of the method is characterized by…
We introduce a new class of "filtered" schemes for some first order non-linear Hamilton-Jacobi-Bellman equations. The work follows recent ideas of Froese and Oberman (SIAM J. Numer. Anal., Vol 51, pp.423-444, 2013). The proposed schemes are…
Under multiplicative drift and other regularity conditions, it is established that the asymptotic variance associated with a particle filter approximation of the prediction filter is bounded uniformly in time, and the nonasymptotic,…
In this article, we complement recent results on the convergence of the state estimate obtained by applying the discrete-time Kalman filter on a time-sampled continuous-time system. As the temporal discretization is refined, the estimate…
We derive sufficient conditions for the solvability of the state estimation problem for a class of nonlinear control time-varying systems which includes those, whose dynamics have triangular structure. The state estimation is exhibited by…
This paper build on our recent work where we presented a dual stochastic optimal control formulation of the nonlinear filtering problem [1]. The constraint for the dual problem is a backward stochastic differential equations (BSDE). The…
We extend to multi-dimensions the work of [1], where new fully explicit kinetic methods were built for the approximation of linear and non-linear convection-diffusion problems. The fundamental principles from the earlier work are retained:…
The Koopman framework is a popular approach to transform a finite dimensional nonlinear system into an infinite dimensional, but linear model through a lifting process, using so-called observable functions. While there is an extensive…
Using stochastic gradient search and the optimal filter derivative, it is possible to perform recursive (i.e., online) maximum likelihood estimation in a non-linear state-space model. As the optimal filter and its derivative are…
Ordinary Differential Equations are a simple but powerful framework for modeling complex systems. Parameter estimation from times series can be done by Nonlinear Least Squares (or other classical approaches), but this can give…
In this paper we prove a rate of convergence for the continuous time filtering solution of a multiple timescale correlated nonlinear system to a lower dimensional filtering equation in the limit of large timescale separation. Correlation is…
Fractional nonlinear differential equations present an interplay between two common and important effective descriptions used to simplify high dimensional or more complicated theories: nonlinearity and fractional derivatives. These…
We consider multiscale stochastic systems that are partially observed at discrete points of the slow time scale. We introduce a particle filter that takes advantage of the multiscale structure of the system to efficiently approximate the…
Particle filters for data assimilation in nonlinear problems use "particles" (replicas of the underlying system) to generate a sequence of probability density functions (pdfs) through a Bayesian process. This can be expensive because a…
We characterize a stochastic dynamical system with tempered stable noise, by examining its probability density evolution. This probability density function satisfies a nonlocal Fokker-Planck equation. First, we prove a superposition…
This paper is concerned with online filtering of discretely observed nonlinear diffusion processes. Our approach is based on the fully adapted auxiliary particle filter, which involves Doob's $h$-transforms that are typically intractable.…
We present recent results on the existence of a continuous time limit for Ensemble Kalman Filter algorithms. In the setting of continuous signal and observation processes, we apply the original Ensemble Kalman Filter algorithm proposed by…
We present results for finite time blow-up for filtration problems with nonlinear reaction under appropriate assumptions on the nonlinearities and the initial data. In particular, we prove first finite time blow up of solutions subject to…
In this paper, we mainly consider the long-time behavior of solutions for the Cahn-Hilliard-Navier-Stokes system with dynamic boundary conditions and two polynomial growth nonlinearities of arbitrary order. We prove the existence of a…