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In this paper we consider the filtering of partially observed multi-dimensional diffusion processes that are observed regularly at discrete times. This is a challenging problem which requires the use of advanced numerical schemes based upon…
Many normalizing flow architectures impose regularity constraints, yet their distributional approximation properties are not fully characterized. We study the expressivity of bi-Lipschitz normalizing flows through the lens of score-based…
The filtering equations associated to a partially observed jump diffusion model $(Z_t)_{t\in [0,T]}=(X_t,Y_t)_{t\in [0,T]}$, driven by Wiener processes and Poisson martingale measures are considered. Building on results from two preceding…
Based on the notion of a construction process consisting of the stepwise addition of particles to the pure fluid, a discrete model for the apparent viscosity as well as for the maximum packing fraction of polydisperse suspensions of…
Given a complex, elliptic coefficient function we investigate for which values of $p$ the corresponding second-order divergence form operator, complemented with Dirichlet, Neumann or mixed boundary conditions, generates a strongly…
Diffusion models, which convert noise into new data instances by learning to reverse a diffusion process, have become a cornerstone in contemporary generative modeling. In this work, we develop non-asymptotic convergence theory for a…
We deal with some extensions of the space-fractional diffusion equation, which is satisfied by the density of a stable process (see Mainardi, Luchko, Pagnini (2001)): the first equation considered here is obtained by adding an exponential…
We study the quantitative homogenization of linear second order elliptic equations in non-divergence form with highly oscillating periodic diffusion coefficients and with large drifts, in the so-called ``centered'' setting where…
In this paper, we develop the mathematical framework for filtering problems arising from biophysical applications where data is collected from confocal laser scanning microscopy recordings of the space-time evolution of intracellular wave…
We prove existence and uniqueness of solutions to a class of stochastic semilinear evolution equations with a monotone nonlinear drift term and multiplicative noise, considerably extending corresponding results obtained in previous work of…
We consider a Poisson equation in $\mathbb R^d$ for the elliptic operator corresponding to an ergodic diffusion process. Optimal regularity and smoothness with respect to the parameter are obtained under mild conditions on the coefficients.…
There are two distinct regimes commonly used to model traveling waves in stratified water: continuous stratification, where the density is smooth throughout the fluid, and layer-wise continuous stratification, where the fluid consists of…
Estimating parameters of a diffusion process given continuous-time observations of the process via maximum likelihood approaches or, online, via stochastic gradient descent or Kalman filter formulations constitutes a well-established…
We establish a Large Deviations Principle for stochastic processes with Lipschitz continuous oblique reflections on regular domains. The rate functional is given as the value function of a control problem and is proved to be good. The proof…
We consider a stochastic functional differential equation with an arbitrary Lipschitz diffusion coefficient depending on the past. The drift part contains a term with superlinear growth and satisfying a dissipativity condition. We prove…
We introduce a methodology for online estimation of smoothing expectations for a class of additive functionals, in the context of a rich family of diffusion processes (that may include jumps) -- observed at discrete-time instances. We…
In this note, we investigate a doubly nonlinear diffusion equation in the slow diffusion regime. We prove stability of the pressure of solutions that are close to traveling wave solutions in a homogeneous Lipschitz sense. We derive…
We study uniform Lipschitz regularity estimates for elliptic systems in divergence form with continuous coefficients, based on rapidly oscillating periodic coefficients derived from homogenization theory. We extend a result by Avellaneda…
The diffusion coefficient of a circular shaped inclusion in a liquid membrane is investigated by taking into account the interaction between membranes and bulk solvents of arbitrary thickness. As illustrative examples, the diffusion…
The problem of diffusion in a porous medium with a spatially varying porosity is considered. The particular microstructure analyzed comprises a collection of impenetrable spheres, though the methods developed are general. Two different…