Related papers: Filtering theory for a weakly coloured noise proce…
We study the convergence properties of the conditional (Kullback-Leibler) entropy in stochastic systems. We have proved very general results showing that asymptotic stability is a necessary and sufficient condition for the monotone…
This paper proposes a novel framework for delay-tolerant particle filtering that is computationally efficient and has limited memory requirements. Within this framework the informativeness of a delayed (out-of-sequence) measurement (OOSM)…
For a process governed by a linear Ito stochastic differential equation of the form dX(t)=[a(t)+b(t)X(t)]dt + \sigma(t)dW(t) we prove an existence of optimal sampling designs with strictly increasing sampling times. We derive an asymptotic…
Integrable non-linear Hamiltonian systems perturbed by additive noise develop a Lyapunov instability, and are hence chaotic, for any amplitude of the perturbation. This phenomenon is related, but distinct, from Taylor's diffusion in…
A filtering problem for a class of quantum systems disturbed by a classical stochastic process is investigated in this paper. The classical disturbance process, which is assumed to be described by a linear stochastic differential equation,…
We develop here a stochastic framework for modeling and segmenting transient spindle-like oscillatory bursts in electroencephalogram (EEG) signals. At the modeling level, individual spindles are represented as path realizations of a…
Iterative denoising algorithms (IDAs) have been tremendously successful in a range of linear inverse problems arising in signal and image processing. The classic instance of this is the famous Iterative Soft-Thresholding Algorithm (ISTA),…
We investigate predictions of stochastic compartmental models on the severity of disease outbreaks. The models we consider are the Susceptible-Infected-Susceptible (SIS) for bacterial infections, and the Susceptible -Infected-Removed (SIR)…
Stochastic density functional theory (sDFT) is becoming a valuable tool for studying ground state properties of extended materials. The computational complexity of describing the Kohn-Sham orbitals is replaced by introducing a set of random…
We present the two new notions of projection of a stochastic differential equation (SDE) onto a submanifold, as developed in Armstrong, Brigo e Rossi Ferrucci (2019, 2018): the Ito-vector and Ito-jet projections. This allows one to…
We consider filtering for a continuous-time, or asynchronous, stochastic system where the full distribution over states is too large to be stored or calculated. We assume that the rate matrix of the system can be compactly represented and…
The multivariate Ornstein-Uhlenbeck process is used in many branches of science and engineering to describe the regression of a system to its stationary mean. Here we present an $O(N)$ Bayesian method to estimate the drift and diffusion…
In this work, a stochastic energy supply-demand model with renewable integration is developed and analyzed. The basic nonlinear deterministic model describing the relationship among regional demand, external supply, energy imports, and…
A white noise quantum stochastic calculus is developped using classical measure theory as mathematical tool. Wick's and Ito's theorems have been established. The simplest quantum stochastic differential equation has been solved, unicity and…
Complex Ornstein-Uhlenbeck (OU) processes have various applications in statistical modelling. They play role e.g. in the description of the motion of a charged test particle in a constant magnetic field or in the study of rotating waves in…
This article aims to investigate the impact of noise on parameter fitting for an Ornstein-Uhlenbeck process, focusing on the effects of multiplicative and thermal noise on the accuracy of signal separation. To address these issues, we…
We study the effect of additive Brownian noise on an ODE system that has a stable hyperbolic limit cycle, for initial data that are attracted to the limit cycle. The analysis is performed in the limit of small noise - that is, we modulate…
We establish a diffusion approximation for a class of multi-agent controlled queueing systems, demonstrating their convergence to a system of interacting reflected Ornstein--Uhlenbeck (OU) processes. The limiting process captures essential…
A general theory of nonlinear signal-noise interactions for wavelength division multiplexed fiber-optic coherent transmission systems is presented. This theory is based on the regular perturbation treatment of the nonlinear Schrodinger…
The paper deals with the problem of long-time asymptotic behaviour of solutions for classes of ODEs and PDEs, perturbed by stationary noises. The latter are not assumed to be $\delta$-correlated in time, so that the evolution in question is…