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The objective of this paper is to study the filtering problem for a system of partially observable processes $(X, Y)$, where $X$ is a non-Markovian pure-jump process representing the signal and $Y$ is a general jump-diffusion which provides…
Nonlinear filtering is the problem of online estimation of a dynamic hidden variable from incoming data and has vast applications in different fields, ranging from engineering, machine learning, economic science and natural sciences. We…
We consider the problem of parameter estimation, based on noisy chaotic signals, from the viewpoint of twisted modulation for waveform communication. In particular, we study communication systems where the parameter to be estimated is…
This paper studies the distributed state estimation problem for a class of discrete-time stochastic systems with nonlinear uncertain dynamics over time-varying topologies of sensor networks. An extended state vector consisting of the…
In this paper, a dual estimation methodology is developed for both time-varying parameters and states of a nonlinear stochastic system based on the Particle Filtering (PF) scheme. Our developed methodology is based on a concurrent…
Accurate state estimation requires careful consideration of uncertainty surrounding the process and measurement models; these characteristics are usually not well-known and need an experienced designer to select the covariance matrices. An…
Fluctuations in small biological systems can be crucial for their function. Large-deviation theory characterizes such rare events from the perspective of stochastic processes. In most cases it is very difficult to directly determine the…
Based on a recently proposed non-equilibrium mechanism for spatial pattern formation [cond-mat/0312366] we study how morphogenesis can be controlled by locally coupled discrete dynamical networks, similar to gene regulation networks of…
A general formalism is developed to construct a Markov chain model that converges to a one-dimensional map in the infinite population limit. Stochastic fluctuations are therefore internal to the system and not externally specified. For…
A typical problem in the detection of the gravitational waves in the data of gravitational antennas is the non-stationarity of the Gaussian noise (and so the varying sensitivity) and the presence of big impulsive disturbances. In such…
In this paper we develop a nonparametric maximum likelihood estimate of the mixing distribution of the parameters of a linear stochastic dynamical system. This includes, for example, pharmacokinetic population models with process and…
Constructing numerical models of noisy partial differential equations is very delicate. Our long term aim is to use modern dynamical systems theory to derive discretisations of dissipative stochastic partial differential equations. As a…
Stochastic reaction network models arise in intracellular chemical reactions, epidemiological models and other population process models, and are a class of continuous time Markov chains which have the nonnegative integer lattice as state…
Traditional models of wormlike chains in shear flows at finite temperature approximate the equation of motion via finite difference discretization (bead and rod models). We introduce here a new method based on a spectral representation in…
The stochastic optimal control of many agents is an important problem in various fields. We investigate the problem of partial observations, where the state of each agent is not fully observed and the control must be decided based on noisy…
We consider stochastic dynamics of a particle on a plane in presence of two noises and a confining parabolic potential - an analog of the experimentally-relevant Brownian Gyrator (BG) model. In contrast to the standard BG model, we suppose…
We consider the problem of pointwise estimation of multi-dimensional signals $s$, from noisy observations $(y_\tau)$ on the regular grid $\bZd$. Our focus is on the adaptive estimation in the case when the signal can be well recovered using…
A study of the non-dissipative Brownian motion in vacuum is presented. The noise source associated to the stochastic process assumed in this work is vacuum fluctuations of some quantum field capable of interact with a massive particle. For…
We investigate the stabilization of unstable multidimensional partially observed single-sensor and multi-sensor linear systems driven by unbounded noise and controlled over discrete noiseless channels under fixed-rate information…
The non-linear dynamics of long-wavelength cosmological fluctuations may be phrased in terms of an effective classical, but stochastic evolution equation. The stochastic noise represents short-wavelength modes that continually redshift into…