Related papers: Representation for filtration-consistent nonlinear…
The explicit solution of the discrete time filtering problems with exponential criteria for a general Gaussian signal is obtained through an approach based on a conditional Cameron-Martin type formula. This key formula is derived for…
Let $G$ be a finite group admitting a coprime automorphism $\phi$ of order $n$. Denote by $G_{\phi}$ the centralizer of $\phi$ in $G$ and by $G_{-\phi}$ the set $\{ x^{-1}x^{\phi}; \ x\in G\}$. We prove the following results. 1. If every…
One obtains a probabilistic representation for the entropic generalized solutions to a nonlinear Fokker-Planck equation in $\mathbb R^d$ with multivalued nonlinear diffusion term as density probabilities of solutions to a nonlinear…
In this paper, we consider the semilinear wave equation involving the nonlinear damping term $g(u_t) $ and nonlinearity $f(u)$. The well-posedness of the weak solution satisfying some additional regularity is achieved under the wider ranges…
We formulate probabilistic numerical approximations to solutions of ordinary differential equations (ODEs) as problems in Gaussian process (GP) regression with non-linear measurement functions. This is achieved by defining the measurement…
In this paper, we address the stochastic representation problem in discrete time under (non-linear) g-expectation. We establish existence and uniqueness of the solution, as well as a characterization of the solution. As an application, we…
We study the homogenization problem of semi linear reflected partial differential equations (reflected PDEs for short) with nonlinear Neumann conditions. The non-linear term is a function of the solution but not of its gradient. The proof…
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…
In this paper, we study the integral representation of g-expectations with two kinds of terminal constraints, and obtain the corresponding necessary and sufficient conditions.
A novel approximate Bayesian filter based on backward stochastic differential equations is introduced. It uses a nonlinear Feynman--Kac representation of the filtering problem and the approximation of an unnormalized filtering density using…
In this work, we are concerned with a nonlinear wave equation with variable exponents. A distributive delay is imposed into the damping term with variable exponents nonlinearity. Firstly, we show that the global nonexistence time can be…
This article develops a comprehensive framework for stability analysis of a broad class of commonly used continuous and discrete time-filters for stochastic dynamic systems with non-linear state dynamics and linear measurements under…
We consider coherent sublinear expectations on a measurable space, without assuming the existence of a dominating probability measure. By considering a decomposition of the space in terms of the supports of the measures representing our…
We consider a $C^1-$semilinear elliptic optimal control problem possibly subject to control and/or state constraints. Generalizing previous work we provide a condition which guarantees that a solution of the necessary first order conditions…
We study continuous dependence of solutions to quasilinear evolution equations of parabolic-type in the framework of maximal $L^p$-regularity. For equations of the form \[ \frac{d\phi}{dt} + A(t,\phi)\phi = f(t,\phi), \] we establish…
By analogy with the theory of Backward Stochastic Differential Equations, we define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. This paper considers these processes as constructions…
This article introduces a novel nonparametric methodology for Generalized Linear Models which combines the strengths of the binary regression and latent variable formulations for categorical data, while overcoming their disadvantages.…
Nonlinear reaction-diffusion systems are known to exhibit very many novel spatiotemporal patterns. Fisher equation is a prototype of diffusive equations. In this contribution we investigate the integrability properties of the generalized…
A recently introduced nonlinear Fokker-Planck equation, derived directly from a master equation, comes out as a very general tool to describe phenomenologically systems presenting complex behavior, like anomalous diffusion, in the presence…
In this paper we explain that the natural filtration of a continuous Hunt process is continuous, and show that martingales over such a filtration are continuous. We further establish a martingale representation theorem for a class of…