Related papers: 2-microlocal analysis of martingales and stochasti…
The Metropolis-Hastings algorithm allows one to sample asymptotically from any probability distribution $\pi$. There has been recently much work devoted to the development of variants of the MH update which can handle scenarios where such…
The pseudo-marginal algorithm is a popular variant of the Metropolis--Hastings scheme which allows us to sample asymptotically from a target probability density $\pi$, when we are only able to estimate an unnormalized version of $\pi$…
We study the approximation of a square-integrable function from a finite number of evaluations on a random set of nodes according to a well-chosen distribution. This is particularly relevant when the function is assumed to belong to a…
Robust inference for stochastic dynamical systems is often hampered by sparse sampling and the absence of closed-form likelihoods. We introduce a Monte Carlo path-inference framework that leverages full-path statistics and bridge processes…
We consider stochastic differential equations, obtained by adding weak Gaussian white noise to ordinary differential equations admitting $N$ asymptotically stable periodic orbits. We construct a discrete-time, continuous-space Markov chain,…
For a series of Markov processes we prove stochastic duality relations with duality functions given by orthogonal polynomials. This means that expectations with respect to the original process (which evolves the variable of the orthogonal…
We provide a computationally and statistically efficient method for estimating the parameters of a stochastic covariance model observed on a regular spatial grid in any number of dimensions. Our proposed method, which we call the Debiased…
This paper deals with iteration stable (STIT) tessellations, and, more generally, with a certain class of tessellations that are infinitely divisible with respect to iteration. They form a new, rich and flexible class of spatio-temporal…
Bilinear dynamical systems are ubiquitous in many different domains and they can also be used to approximate more general control-affine systems. This motivates the problem of learning bilinear systems from a single trajectory of the…
Fractional derivatives are nonlocal differential operators of real order that often appear in models of anomalous diffusion and a variety of nonlocal phenomena. Recently, a version of the Schr\"odinger Equation containing a fractional…
This paper studies the theoretical construction and analytic error estimation of complex Bessel function-based conformal mappings in regions with randomly perturbed boundaries. First, we construct a conformal mapping applicable to such…
A family of exponential martingales of a stochastic Laplacian growth problem is proposed. Stochastic Laplacian growth describes a regularized interface dynamics in a two-fluid system, where the viscous fluid is incompressible at a large…
The paper suggests a way of stochastic integration of random integrands with respect to fractional Brownian motion with the Hurst parameter H> 1/2. The integral is defined initially on the processes that are "piecewise" predictable on a…
We survey some of our recent results on the geometry of spatially independent martingales, in a more concrete setting that allows for shorter, direct proofs, yet is general enough for several applications and contains the well-known fractal…
We prove a bound on the finite sample error of sequential Monte Carlo (SMC) on static spaces using the $L_2$ distance between interpolating distributions and the mixing times of Markov kernels. This result is unique in that it is the first…
We present the 2-point function from Fast and Accurate Spherical Bessel Transformation (2-FAST) algorithm for a fast and accurate computation of integrals involving one or two spherical Bessel functions. These types of integrals occur when…
A novel approach called Moate Simulation is presented to provide an accurate numerical evolution of probability distribution functions represented on grids arising from stochastic differential processes where initial conditions are…
We introduce orthogonal ring patterns in the 2-sphere and in the hyperbolic plane, consisting of pairs of concentric circles, which generalize circle patterns. We show that their radii are described by a discrete integrable system. This is…
In this paper, we are concerned with the recovery of the geometric shapes of inhomogeneous inclusions from the associated far field data in electrostatics and acoustic scattering. We present a local resolution analysis and show that the…
This paper contains a study of multivariate second order stochastic mappings indexed by an abstract set $\Lambda$ in close connection to their operator covariance functions. The characterizations of the normal Hilbert module or of Hilbert…