Related papers: Backward and forward filtering under the weak H\"o…
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.…
We establish strong uniqueness for a class of degenerate SDEs of weak H{\"o}rmander type under suitable H{\"o}lder regularity conditions for the associated drift term. Our approach relies on the Zvonkin transform which requires to exhibit…
We study linear time fractional diffusion equations in divergence form of time order less than one. It is merely assumed that the coefficients are measurable and bounded, and that they satisfy a uniform parabolicity condition. As the main…
We study the closure of approximating sequences of some diffusion equations under certain weak convergence. A specific description of the closure under weak $H^1$-convergence is given, which reduces to the original equation when the…
We establish propagation of singularities for the semiclassical Schr\"odinger equation, where the potential is conormal to a hypersurface. We show that semiclassical wavefront set propagates along generalized broken bicharacteristics, hence…
In this paper, a backward map is introduced for the purposes of analysis of the nonlinear (stochastic) filter stability. The backward map is important because the filter-stability in the sense of $\chisq$-divergence follows from showing a…
In this paper we consider diffusion semigroups generated by second order differential operators of degenerate type. The operators that we consider do not, in general, satisfy the Hormander condition and are not hypoelliptic. In particular,…
We study parametric inference for ergodic diffusion processes with a degenerate diffusion matrix. Existing research focuses on a particular class of hypo-elliptic SDEs, with components split into `rough'/`smooth' and noise from rough…
We introduce a new online approach for constructing proposal distributions in particle filters using a forward scheme. Our method progressively incorporates future observations to refine proposals. This is in contrast to backward-scheme…
Anomalous diffusion in the presence or absence of an external force field is often modelled in terms of the fractional evolution equations, which can involve the hyper-singular source term. For this case, conventional time stepping methods…
We study a porous medium equation with right hand side. The operator has nonlocal diffusion effects given by an inverse fractional Laplacian operator. The derivative in time is also fractional of Caputo-type and which takes into account…
This paper deals with two separate but related results. First we consider weak solutions to a parabolic operator with H\"ormander vector fields. Adapting the iteration scheme of J\"urgen Moser for elliptic and parabolic equations in…
The backward problem for subdiffusion equation with the fractional Riemann-Liouville time-derivative of order ? 2 (0; 1) and an arbitrary positive self-adjoint operator A is considered. This problem is ill-posed in the sense of Hadamard due…
We consider the high-frequency Helmholtz equation with a given source term, and a small absorption parameter $\a>0$. The high-frequency (or: semi-classical) parameter is $\eps>0$. We let $\eps$ and $\a$ go to zero simultaneously. We assume…
Marginalization techniques are presented for the Bayesian filtering problem under the assumption of Gaussian priors and posteriors and a set of sequentially more constraining state space model assumptions. The techniques provide the…
We study the problem of existence and uniqueness of solutions of backward stochastic differential equations with two reflecting irregular barriers, $L^p$ data and generators satisfying weak integrability conditions. We deal with equations…
We study lower and upper bounds for the probability that a diffusion process in $\mathbb{R}^n$ remains in a tube around a skeleton path up to a fixed time. We assume that the diffusion coefficients $\sigma_1,\ldots,\sigma_d$ may degenerate…
This article is concerned with the well-posedness of the "filtering equations", due to Zakai and Kushner-Stratonovich, arising in nonlinear stochastic filtering. In general situations, notably in correlated diffusion models and when signal…
In this paper, we study an inverse problem of identifying two spatial-temporal source terms in the Schr\"odinger equation with dynamic boundary conditions from the final time overdetermination. We adopt a weak solution approach to solve the…
The higher-order nonlinear Schrodinger equation (Dysthe's equation in the context of water-waves) models the time evolution of the slowly modulated amplitude of a wave-packet in dispersive partial differential equations (PDE). These…