Related papers: Hypoellipticity for filtering problems of partiall…
Elliptic and parabolic integro-differential model problems are considered in the whole space. By verifying H\"ormander condition, the existence and uniqueness is proved in L_{p}-spaces of functions whose regularity is defined by a scalable,…
A partially observed jump diffusion $Z=(X_t,Y_t)_{t\in[0,T]}$ given by a stochastic differential equation driven by Wiener processes and Poisson martingale measures is considered when the coefficients of the equation satisfy appropriate…
We consider the problem of inference for nonlinear, multivariate diffusion processes, satisfying It\^o stochastic differential equations (SDEs), using data at discrete times that may be incomplete and subject to measurement error. Our…
We propose a method for inference on moderately high-dimensional, nonlinear, non-Gaussian, partially observed Markov process models for which the transition density is not analytically tractable. Markov processes with intractable transition…
In this paper, a quantitative measure of partial observability is defined for PDEs. The quantity is proved to be consistent if the PDE is approximated using well-posed approximation schemes. A first order approximation of an unobservability…
We study infinite systems of particles which undergo coalescence and fragmentation, in a manner determined solely by their masses. A pair of particles having masses $x$ and $y$ coalesces at a given rate $K(x,y)$. A particle of mass $x$…
This paper studies the identification of an $\mathbb{R}^d$-valued diffusion $X$ when a running function of it, say $h(X_t)$, is observed. A point-wise observation of the process (in other words, observing $h(X_t)$ in isolation) cannot…
For a one dimensional diffusion process $X=\{X(t) ; 0\leq t \leq T \}$, we suppose that $X(t)$ is hidden if it is below some fixed and known threshold $\tau$, but otherwise it is visible. This means a partially hidden diffusion process. The…
We consider models for multivariate point processes where the intensity is given nonparametrically in terms of functions in a reproducing kernel Hilbert space. The likelihood function involves a time integral and is consequently not given…
We provide pointwise upper bounds for the transition kernels of semigroups associated with a class of systems of nondegenerate elliptic partial differential equations with unbounded coefficients with possibly unbounded diffusion…
In this paper we consider the continuous--time nonlinear filtering problem, which has an infinite--dimensional solution in general, as proved by Chaleyat--Maurel and Michel. There are few examples of nonlinear systems for which the optimal…
We study lower and upper bounds for the density of a diffusion process in ${\mathbb{R}}^n$ in a small (but not asymptotic) time, say $\delta$. We assume that the diffusion coefficients $\sigma_1,\ldots,\sigma_d$ may degenerate at the…
This paper is concerned with online filtering of discretely observed nonlinear diffusion processes. Our approach is based on the fully adapted auxiliary particle filter, which involves Doob's $h$-transforms that are typically intractable.…
We propose a nonparametric estimation for a class of fractional stochastic differential equations (FSDE) with random effects. We precisely consider general linear fractional stochastic differential equations with drift depending on random…
In this note we prove the strong Feller property of a strong Markov quasi diffusion process corresponding to an elliptic operator with merely bounded measurable coefficients. We also prove H\"older continuity of harmonic functions…
We consider an elliptic and time-inhomogeneous diffusion process with time-periodic coefficients evolving in a bounded domain of $\mathbb{R}^d$ with a smooth boundary. The process is killed when it hits the boundary of the domain (hard…
We show that materials made of scatterers distributed on a stealth hyperuniform point pattern can be transparent at densities for which an uncorrelated disordered material would be opaque due to multiple scattering. The conditions for…
For a class of particle systems in continuous space with local interactions, we show that the asymptotic diffusion matrix is an infinitely differentiable function of the density of particles. Our method allows us to identify relatively…
We introduce a class of (possibly) degenerate dispersive equations with a drift. We prove that, under the H\"ormander hypoellipticity condition, the relevant Cauchy problem can be uniquely solved in the Schwartz class, and the solution…
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…