Related papers: Trajectory Fitting Estimators for SPDEs Driven by …

We propose a new class of physics-informed neural networks, called physics-informed Variational Autoencoder (PI-VAE), to solve stochastic differential equations (SDEs) or inverse problems involving SDEs. In these problems the governing…

In this paper, we introduce a class of stochastic partial differential equations (SPDEs) with fractional time-derivatives, and study the $L_2$-theory of the equations. This class of SPDEs can be used to describe random effects on transport…

We analyze stochastic partial differential equations (SPDEs) with quadratic nonlinearities close to a change of stability. To this aim we compute finite-time Lyapunov exponents (FTLEs), observing a change of sign based on the interplay…

In this paper, we consider parameter estimation for stochastic differential equations driven by Wiener processes and compound Poisson processes. We assume unknown parameters corresponding to coefficients of the drift term, diffusion term,…

In this paper we consider the drift estimation problem for a general differential equation driven by an additive multidimensional fractional Brownian motion, under ergodic assumptions on the drift coefficient. Our estimation procedure is…

We propose a two-stage method called \textit{Spline Assisted Partial Differential Equation based Model Identification (SAPDEMI)} to identify partial differential equation (PDE)-based models from noisy data. In the first stage, we employ the…

The paper studies the well-posedness and optimal error estimates of spectral finite element approximations for the boundary value problems of semi-linear elliptic SPDEs driven by white or colored Gaussian noises. The noise term is…

Additive noise in Partial Differential equations, in particular those of fluid mechanics, has relatively natural motivations. The aim of this work is showing that suitable multiscale arguments lead rigorously, from a model of fluid with…

Systems involving Partial Differential Equations (PDEs) have recently become more popular among the machine learning community. However prior methods usually treat infinite dimensional problems in finite dimensions with Reduced Order…

Identifying unknown differential equations from a given set of discrete time dependent data is a challenging problem. A small amount of noise can make the recovery unstable, and nonlinearity and differential equations with varying…

We study strong approximation of scalar additive noise driven stochastic differential equations (SDEs) at time point $1$ in the case that the drift coefficient is bounded and has Sobolev regularity $s\in(0,1)$. Recently, it has been shown…

We consider non-parametric Bayesian estimation of the drift coefficient of a one-dimensional stochastic differential equation from discrete-time observations on the solution of this equation. Under suitable regularity conditions that are…

Many real-world systems modeled using partial differential equations (PDEs) involve unknown parameters that must be estimated from limited, noisy system observations. While typically assumed to be constants, some of these unobserved…

We study a least square-type estimator for an unknown parameter in the drift coefficient of a stochastic differential equation with additive fractional noise of Hurst parameter H>1/2. The estimator is based on discrete time observations of…

Data-driven methods have recently made great progress in the discovery of partial differential equations (PDEs) from spatial-temporal data. However, several challenges remain to be solved, including sparse noisy data, incomplete candidate…

Stochastic differential equations (SDEs) are increasingly used in longitudinal data analysis, compartmental models, growth modelling, and other applications in a number of disciplines. Parameter estimation, however, currently requires…

Traffic flow estimation (TFE) is crucial for intelligent transportation systems. Traditional TFE methods rely on extensive road sensor networks and typically incur significant costs. Sparse mobile crowdsensing enables a cost-effective…

Stochastic differential equations (SDEs) are a fundamental tool for modelling dynamic processes, including gene regulatory networks (GRNs), contaminant transport, financial markets, and image generation. However, learning the underlying SDE…

Recently in [M. Hairer, M. Hutzenthaler, and A. Jentzen, Ann. Probab. 43, 2 (2015), 468--527] and [A. Jentzen, T. M\"uller-Gronbach, and L. Yaroslavtseva, Commun. Math. Sci. 14, 6 (2016), 1477--1500] stochastic differential equations (SDEs)…

The curvature of ODE trajectories in diffusion models hinders their ability to generate high-quality images in a few number of function evaluations (NFE). In this paper, we propose a novel and effective approach to reduce trajectory…