Related papers: Construction of Ito model for Geoelectrical Signal…
We consider the task of generating discrete-time realisations of a nonlinear multivariate diffusion process satisfying an It\^o stochastic differential equation conditional on an observation taken at a fixed future time-point. Such…
Stochastic differential equations (SDE) are widely used in modeling stochastic dynamics in literature. However, SDE alone is not enough to determine a unique process. A specified interpretation for stochastic integration is needed.…
Computing properties of molecular systems rely on estimating expectations of the (unnormalized) Boltzmann distribution. Molecular dynamics (MD) is a broadly adopted technique to approximate such quantities. However, stable simulations rely…
We introduce a local non-determinism condition for Volterra It\^{o} processes that captures smoothing properties of possibly degenerate noise. By combining the stochastic sewing lemma with one-step Euler approximations, we first prove the…
Modelling the evolution of a system using stochastic dynamics typically implies a greater subjective uncertainty in the adopted system coordinates as time progresses, and stochastic entropy production has been developed as a measure of this…
In this paper, we consider the problem of extraction of most informative features from time series that are regarded as observed values of stochastic processes satisfying the It{\^{o}} stochastic differential equations with unknown random…
In this paper, we consider the density estimation problem associated with the stationary measure of ergodic It\^o diffusions from a discrete-time series that approximate the solutions of the stochastic differential equations. To take an…
We consider the identification problem of a noncausal Ito process from its stochastic Fourier coefficients with respect to the complete system of trigonometric functions. Here, a noncausal Ito process is the extension of Ito process whose…
The dynamics of interacting quantum systems in the presence of disorder is studied and an exact representation for disorder-averaged quantities via Ito stochastic calculus is obtained. The stochastic integral representation affords many…
Chen, Fitzsimmons, Kuwae and Zhang (Ann. Probab. 36 (2008) 931-970) have established an Ito formula consisting in the development of F(u(X)) for a symmetric Markov process X, a function u in the Dirichlet space of X and any…
This paper provides an existence-and-uniqueness theorem characterizing the stochastic integral with respect to a Wiener process. The integral is represented as a mapping from the space of measurable and adapted pathwise locally integrable…
The Internet of Things (IoT) is large-scale by nature. This is not only manifested by the large number of connected devices, but also by the high volumes of traffic that must be accommodated. Cellular networks are indeed a natural candidate…
Many ion channels spontaneously switch between different levels of activity. Although this behaviour known as modal gating has been observed for a long time it is currently not well understood. Despite the fact that appropriately…
The possibility of different interpretations of the stochastic term (or calculi) in the overdamped Langevin equation for the motion of a particle in an inhomogeneous medium is often referred to as the "Ito--Stratonovich dilemma," although…
Calibrating for direction-dependent ionospheric distortions in visibility data is one of the main technical challenges that must be overcome to advance low-frequency radio astronomy. In this paper, we propose a novel probabilistic,…
We propose a stochastic representation for a simple class of transport PDEs based on Ito representations. We detail an algorithm using an estimator stemming for the representation that, unlike regularization by noise estimators, is…
This paper proposes a physical-statistical modeling approach for spatio-temporal data arising from a class of stochastic convection-diffusion processes. Such processes are widely found in scientific and engineering applications where…
In this article, we discuss ergodicity properties of a diffusion process given through an It\^{o} stochastic differential equation. We identify conditions on the drift and diffusion coefficients which result in sub-geometric ergodicity of…
An empirical algorithm is used here to study the stochastic and multifractal nature of nonlinear time series. A parameter can be defined to quantitatively measure the deviation of the time series from a Wiener process so that the…
This article introduces a certain class of stochastic processes, which we suggest to call mild Ito processes, and a new - somehow mild - Ito type formula for such processes. Examples of mild Ito processes are mild solutions of SPDEs and…