Related papers: Stochastic Integrals and Two Filtrations
We undertake a detailed numerical study of the phenomenon of stochastic resonance with multisignal inputs. A bistable cubic map is used as the model and we show that it combines the features of a bistable system and a threshold system. A…
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…
Smoothing algorithms for state-space models, i.e., fixed-interval smoothing, fixed-lag smoothing, and two-filter formula for smoothing, are examined using real examples. For linear and Gaussian state-space models, it is observed that…
Given a reference filtration $\mathbb{F}$, we develop in this work a generic method for computing the semimartingale decomposition of $\mathbb{F}$-martingales in some specific enlargements of $\mathbb{F}$. This method is then applied to the…
Several particle algorithms admit a Feynman-Kac representation such that the potential function may be expressed as a recursive function which depends on the complete state trajectory. An important example is the mixture Kalman filter, but…
In this paper, we establish a set of criteria which are applied to discuss various formulations under which Lagrangian stochastic models can be found. These models are used for the simulation of fluid particles in single-phase turbulence as…
Can stochastic gradient methods track a moving target? We study the problem of tracking multidimensional time-varying parameters under noisy observations and possible model misspecification. Gradient-based filters update the time-varying…
We present a hybrid model of a biological filter, a genetic circuit which removes fast fluctuations in the cell's internal representation of the extra cellular environment. The model takes the classic feed-forward loop (FFL) motif and…
A semi-process is an analog of the semi-flow for non-autonomous differential equations or inclusions. We prove an abstract result on the existence of measurable semi-processes in the situations where there is no uniqueness. Also, we allow…
This paper is concerned with the problem of continuous-time nonlinear filtering for stochastic processes on a connected matrix Lie group. The main contribution of this paper is to derive the feedback particle filter (FPF) algorithm for this…
We provide elementary proofs of several results concerning the possible outcomes arising from a fixed profile within the class of positional voting systems. Our arguments enable a simple and explicit construction of paradoxical profiles,…
In this paper we study the probability that two elements selected at random with replacement from a given finite semigroup act the same by right translation on the semigroup, that is, the chosen elements have the same right matrix.
In this paper, stochastic optimal control problems in continuous time and space are considered. In recent years, such problems have received renewed attention from the lens of reinforcement learning (RL) which is also one of our motivation.…
We address two central notions of fairness in the literature of planning on nondeterministic fully observable domains. The first, which we call stochastic fairness, is classical, and assumes an environment which operates probabilistically…
A generic non-integrable (unitary) out-of-equilibrium quantum process, when interrogated across many times, is shown to yield the same statistics as an (non-unitary) equilibrated process. In particular, using the tools of quantum stochastic…
Fractional derivatives are generalization to classical integer-order derivatives. The rules which are true for classical derivative need not hold for the fractional derivatives, for example, we cannot simply add the fractional orders…
A Wiener filter can be interpreted as a cascade of a whitening- and an estimation filter. This paper gives a detailed investigates of the properties of these two filters. Then the practical consequences for the overall Wiener filter are…
A quadrature mirror filter (QMF) function can be considered as the transition function for a Markov process on the unit interval. The QMF functions that generate scaling functions for multiresolution analyses are then distinguished by…
The Feynman integral is given a stochastic interpretation in the framework of Nelson's stochastic mechanics employing a time-symmetric variant of Nelson's kinematics recently developed by the author.
We study the effect of a splitting operator S_t on the L^p norm of the Fourier transform of a function f and on the operator norm of a Fourier multiplier m. Most of our results assume p is an even integer, and are often stronger when f or m…