Related papers: Corrigendum to `Convergence of invariant measures …

We study the convergence of random function iterations for finding an invariant measure of the corresponding Markov operator. We call the problem of finding such an invariant measure the stochastic fixed point problem. This generalizes…

The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics…

This article is concerned with the mathematical analysis of a family of adaptive importance sampling algorithms applied to diffusion processes. These methods, referred to as Adaptive Biasing Potential methods, are designed to efficiently…

Under mild conditions, it is possible to obtain, from almost purely measure-theoretic considerations and without any specific reference to stochastic processes, a change-of-measures result, resembling the usual Radon-Nikod\'ym change of…

In this paper, some points to the convergence analysis performed in the paper [A new computing approach for power signal modeling using fractional adaptive algorithms, ISA Transactions 68 (2017) 189-202] are presented. It is highlighted…

We consider the inference problem for parameters in stochastic differential equation models from discrete time observations (e.g. experimental or simulation data). Specifically, we study the case where one does not have access to…

We treat the change point problem in ergodic diffusion processes from discrete observations. Tonaki et al. (2020) proposed adaptive tests for detecting changes in the diffusion and drift parameters in ergodic diffusion models. When any…

Diffusion approximation provides weak approximation for stochastic gradient descent algorithms in a finite time horizon. In this paper, we introduce new tools motivated by the backward error analysis of numerical stochastic differential…

Correction to The Annals of Statistics (1989) 17 1749--1766 [URL: http://links.jstor.org/sici?sici=0090-5364%28198912%2917%3A4%3C1749%3AEPEFSP%3E 2.0.CO%3B2-9]

We present an explicit method for simulating stochastic differential equations (SDEs) that have variable diffusion coefficients and satisfy the detailed balance condition with respect to a known equilibrium density. In Tupper and Yang…

The recent paper by I. Weissman, "Sum of squares of uniform random variables",[Statist. Probab. Lett. 129 (2017), 147-154] is compared to earlier work of B. Tibken and D. Constales relating to the area of the intersection of a centred ball…

This note corrects Example 3.2 in Two-Variable Wiman-Valiron Theory and PDEs by the authors which appeared in Ann. Acad. Sci. Fenn Math. (35) (2010), 571-580.

We study regularity properties for invariant measures of semilinear diffusions in a separable Hilbert space. Based on a pathwise estimate for the underlying stochastic convolution, we prove a priori estimates on such invariant measures. As…

In this work, we are concerned with existence and uniqueness of invariant measures for path-dependent random diffusions and their time discretizations. The random diffusion here means a diffusion process living in a random environment…

This paper has a flaw in an argument that uses the weak-* convergence of measures. The paper was replaced by "Entropy and Its Variational Principle for Locally Compact Metrizable Systems", by the same authors.

The present paper concerns a space-time homogenization problem for nonlinear diffusion equations with periodically oscillating (in space and time) coefficients. Main results consist of corrector results (i.e., strong convergences of…

In this paper a concentration inequality is proved for the deviation in the ergodic theorem in the case of discrete time observations of diffusion processes. The proof is based on the geometric ergodicity property for diffusion processes.…

We study the notion of stochastic stability with respect to diffusive perturbations for flows with smooth invariant measures. We investigate the question fully for non-singular flows on the circle. We also show that volume-preserving flows…

We make remarks on Fern\'{a}ndez Guasti's paper [{\it J. Phys. A: Math. Gen.} 39 (2006) 11825-11832] by pointing out some mistakes Fern\'{a}ndez Guasti derived therein.

This note points out a gap in the proof of one of the technical results in the paper "Asymptotic Invariants of Base Loci", that appeared in Ann. Inst. Fourier (Grenoble) 56 (2006), 1701-1734. We provide a correct proof of this result.