Related papers: A pathwise inference method for the parameters of …

We consider a controlled second order differential equation which is partially observed with an additional fractional noise. we study the asymptotic (for large observation time) design problem of the input and give an efficient estimator of…

The crossover among two or more types of diffusive processes represents a vibrant theme in nonequilibrium statistical physics. In this work we propose two models to generate crossovers among different L\'evy processes: in the first model we…

Estimating treatment effects from observational data is of central interest across numerous application domains. Individual treatment effect offers the most granular measure of treatment effect on an individual level, and is the most useful…

We investigate the role of the form of the spatial diffusion coefficient in shock acceleration of fast particles. Referring to non-classical diffusion and using the results of numerical (hybrid) simulations tailored for the downstream shock…

This paper concerns the use of the expectation-maximisation (EM) algorithm for inference in partially observed diffusion processes. In this context, a well known problem is that all except a few diffusion processes lack closed-form…

We consider two problems of constructing of goodness of fit tests for ergodic diffusion processes. The first one is concerned with a composite basic hypothesis for a parametric class of diffusion processes, which includes the…

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…

We propose an approach to compute the boundary crossing probabilities for a class of diffusion processes which can be expressed as piecewise monotone (not necessarily one-to-one) functionals of a standard Brownian motion. This class…

We study the problem of parameter estimation for a univariate discretely observed ergodic diffusion process given as a solution to a stochastic differential equation. The estimation procedure we propose consists of two steps. In the first…

A compound Poisson process whose parameters are all unknown is observed at finitely many equispaced times. Nonparametric estimators of the jump and L\'evy distributions are proposed and functional central limit theorems using the uniform…

In systems which exhibit deterministic diffusion, the gross parameter dependence of the diffusion coefficient can often be understood in terms of random walk models. Provided the decay of correlations is fast enough, one can ignore memory…

Of primary interest in this paper is the numerical approximation of a time dependent fractional, in space, diffusion equation where the domain is assumed to be nonhomogeneous, having different axial diffusion coefficients. This work is…

We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift and diffusion parameters from discrete observations of the…

We propose a new method for the estimation of parameters of hidden diffusion processes. Based on parametrization of the transition matrix, the Baum-Welch algorithm is improved. The algorithm is compared to the particle filter in application…

We consider parameter estimation, hypothesis testing and variable selection for partially time-varying coefficient models. Our asymptotic theory has the useful feature that it can allow dependent, nonstationary error and covariate…

The behaviour of many dynamic real phenomena shows different phases, with each one following a sigmoidal type pattern. This requires studying sigmoidal curves with more than one inflection point. In this work, a diffusion process is…

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…

The bulk nuclear matter produced in heavy ion collisions carries a multitude of conserved quantum numbers: electric charge, baryon number, and strangeness. Therefore, the diffusion processes associated to these conserved charges cannot…

This work is an extended version of the paper arXiv:0803.2669v1[math-ph], in which the main results were announced. We consider certain classical diffusion process for a wave function on the phase space. It is shown that at the time of…

Score-based diffusion models provide a powerful way to model images using the gradient of the data distribution. Leveraging the learned score function as a prior, here we introduce a way to sample data from a conditional distribution given…