Related papers: Filtering theory for a weakly coloured noise proce…
We use the stochastic limit method to study long time quantum dynamics of a test particle interacting with a dilute Bose gas. The case of arbitrary form-factors and an arbitrary, not necessarily equilibrium, quasifree low density state of…
The stochastic Schr\"odinger equation (SSE) provides a trajectory-level route to simulate the dynamics of open quantum systems with applications ranging from molecular processes to quantum technologies. We study a colored-noise extension of…
Firstly, the Markovian stochastic Schr\"odinger equations are presented, together with their connections with the theory of measurements in continuous time. Moreover, the stochastic evolution equations are translated into a simulation…
The phenomenon of stochastic resonance, wherein the stimulus-response of a system can be maximized by an intermediate level of noise, has been extensively investigated through linear response theory. As yet a unified response-noise or…
We give necessary and/or sufficient conditions for stochastic stability of second-order linear autonomous systems with parameters, which are perturbed by a random process of the "white noise" type. The Ito's and Stratonovich's forms of…
Inferring dynamical models from data continues to be a significant challenge in computational biology, especially given the stochastic nature of many biological processes. We explore a common scenario in omics, where statistically…
Simulations of quantum systems with Hamiltonian classical stochastic noise can be challenging when the noise exhibits temporal correlations over a multitude of time scales, such as for $1/f$ noise in solid-state quantum information…
The Stochastic Liouville-von Neumann (SLN) equation describes the dynamics of an open quantum system reduced density matrix coupled to a non-Markovian harmonic environment. The interaction with the environment is represented by complex…
The fractional Ornstein-Uhleneck (fOU) process is described by the overdamped Langevin equation $\dot{x}(t)+\gamma x=\sqrt{2 D}\xi(t)$, where $\xi(t)$ is the fractional Gaussian noise with the Hurst exponent $0<H<1$. For $H\neq 1/2$ the fOU…
We consider the discrete-time filtering problem in scenarios where the observation noise is low or degenerate. We focus on the case where the observation equation is a linear function of the state and the data involve additive noise.…
This paper is concerned with the nonlinear filtering problem for a general Markovian partially observed system (X,Y), whose dynamics is modeled by correlated jump-diffusions having common jump times. At any time t, the sigma-algebra…
Learning is a fundamental property of intelligent systems, observed across biological organisms and engineered systems. While modern intelligent systems typically rely on gradient descent for learning, the need for exact gradients and…
A stochastic variational inequality is proposed to model an elasto-plastic oscillator excited by a filtered white noise. We prove the ergodic properties of the process and characterize the corresponding invariant measure. This extends…
We consider compartmental models of communicable disease with uncertain contact rates. Stochastic fluctuations are often added to the contact rate to account for uncertainties. White noise, which is the typical choice for the fluctuations,…
We discuss a model of a system of interacting populations for the case when: (i) the growth rates and the coefficients of interaction among the populations depend on the populations densities: and (ii) the environment influences the growth…
Environmental noise on a controlled quantum system is generally modeled by a dissipative Lindblad equation. This equation describes the average state of the system via the density matrix $\rho$. One way of deriving this Lindblad equation is…
In this paper, we study the discrete time filtering problems for linear systems driven by fractional noises. The main difficulty comes from the non-Markovian of the noises. We construct the difference equation of the covariance process…
The universality of the celebrated Kalman filtering can be found in control theory. The Kalman filter has found its striking applications in sophisticated autonomous systems and smart products, which are attributed to its realization in a…
We study stochastic Euler equations in both compressible and incompressible regimes, on the whole space and on the torus, driven by genuinely mixed multiplicative noise: continuous Stratonovich/It\^o components and a discontinuous Marcus…
In this project, we propose to explore the Kalman filter's performance for estimating asset prices. We begin by introducing a stochastic mean-reverting processes, the Ornstein-Uhlenbeck (OU) model. After this we discuss the Kalman filter in…