Related papers: Filtering equations for partially observable diffu…
We will give some regularity results about fractional diffusion-wave equations.
This article is devoted to Feller's diffusion equation which arises naturally in probabilities and physics (e.g. wave turbulence theory). If discretized naively, this equation may represent serious numerical difficulties since the diffusion…
We consider fractional diffusion equation with the distributed order Caputo derivative. We prove existence of a weak and regular solution for general uniformly elliptic operator under the assumption that the weight function is only…
We consider high order approximations of the solution of the stochastic filtering problem, derive their pathwise representation in the spirit of the earlier work of Clark and Davis and prove their robustness property. In particular, we show…
In this paper, we establish smoothness of moments of the solutions of discrete coagulation-diffusion systems. As key assumptions, we suppose that the coagulation coefficients grow at most sub-linearly and that the diffusion coefficients…
This paper is devoted to filtering, smoothing, and prediction of polynomial processes that are partially observed. These problems are known to allow for an explicit solution in the simpler case of linear Gaussian state space models. The key…
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…
In this paper we consider the filtering of a class of partially observed piecewise deterministic Markov processes (PDMPs). In particular, we assume that an ordinary differential equation (ODE) drives the deterministic element and can only…
The (global) Lipschitz smoothness condition is crucial in establishing the convergence theory for most optimization methods. Unfortunately, most machine learning and signal processing problems are not Lipschitz smooth. This motivates us to…
We study the particle method to approximate the gradient flow on the $L^p$-Wasserstein space. This method relies on the discretization of the energy introduced by [3] via nonoverlapping balls centered at the particles and preserves the…
In the present work, we explore homogenization techniques for a class of switching diffusion processes whose drift and diffusion coefficients, and jump intensities are smooth, spatially periodic functions; we assume full coupling between…
The problem of recovering a diffusion coefficient $a$ in a second-order elliptic partial differential equation from a corresponding solution $u$ for a given right-hand side $f$ is considered, with particular focus on the case where $f$ is…
The classical result by It\^o on the existence of strong solutions of stochastic differential equations (SDEs) with Lipschitz coefficients can be extended to the case where the drift is only measurable and bounded. These generalizations are…
A general method is proposed which allows one to estimate drift and diffusion coefficients of a stochastic process governed by a Langevin equation. It extends a previously devised approach [R. Friedrich et al., Physics Letters A 271, 217…
The smoothing distribution is the conditional distribution of the diffusion process in the space of trajectories given noisy observations made continuously in time. It is generally difficult to sample from this distribution. We use the…
Based on Fick's 2nd law the development of moving particle semi-implicit method for predicting diffusion process is proposed in this study
We study a stationary model of doubly diffusive flows with temperature-dependent viscosity on bounded Lipschitz domains in two and three dimensions. A new well-posedness and regularity analysis of weak solutions under minimal assumptions on…
By adopting the coupling by reflection and choosing an auxiliary function which is convex near infinity, we establish the exponential convergence of diffusion semigroups $(P_t)_{t\ge0}$ with respect to the standard $L^p$-Wasserstein…
In this paper the filtering of partially observed diffusions, with discrete-time observations, is considered. It is assumed that only biased approximations of the diffusion can be obtained, for choice of an accuracy parameter indexed by…
Geometry arising from two diffusion operators (smooth semi-elliptic, second order differential operators) on different spaces but intertwined by a smooth map is described. Particular cases arise from Riemannian submersions when the…