Related papers: Inference in the stochastic Cox-Ingersol-Ross diff…
We study a stochastic process describing the onset of spreading dynamics of an epidemic in a population composed by individuals of three classes: susceptible (S), infected (I), and recovered (R). The stochastic process is defined by local…
The smoothing distribution is the conditional distribution of the diffusion process in the space of trajectories given noisy observations made continuously in time. It is generally difficult to sample from this distribution. We use the…
The growing literature on the propagation of COVID-19 relies on various dynamic SIR-type models (Susceptible-Infected-Recovered) which yield model-dependent results. For transparency and ease of comparing the results, we introduce a common…
We consider a hidden Markov model, where the signal process, given by a diffusion, is only indirectly observed through some noisy measurements. The article develops a variational method for approximating the hidden states of the signal…
We present a method to infer the arbitrary space-dependent drift and diffusion of a nonlinear stochastic model driven by multiplicative fractional Gaussian noise from a single trajectory. Our method, fractional Onsager-Machlup optimisation…
The authors present a method of indicator random processes, applicable to constructing models of jump processes associated with diffusion process. Indicator random processes are processes that take only two values: 1 and 0, in accordance…
We study the problem of optimal control of the stochastic SIR model. Models of this type are used in mathematical epidemiology to capture the time evolution of highly infectious diseases such as COVID-19. Our approach relies on…
We investigate the parameter estimation and prediction of two forms of the stochastic SIR model driven by small L\'{e}vy noise with time-dependent periodic transmission. We present consistency and rate of convergence results for the…
A practical introduction to stochastic modelling of reaction-diffusion processes is presented. No prior knowledge of stochastic simulations is assumed. The methods are explained using illustrative examples. The article starts with the…
Extending deterministic compartments pharmacokinetic models as diffusions seems not realistic on biological side because paths of these stochastic processes are not smooth enough. In order to extend one compartment intra-veinous bolus…
We consider the problem of the estimation of the invariant distribution function of an ergodic diffusion process when the drift coefficient is unknown. The empirical distribution function is a natural estimator which is unbiased, uniformly…
Stochastic reduced-order models are widely used to represent the effective dynamics of complex systems, but estimating their drift and diffusion coefficients from data remains challenging. Standard approaches often rely on short-time…
In this paper, we develop a method to model and estimate several, _dependent_ count processes, using granular data. Specifically, we develop a multivariate Cox process with shot noise intensities to jointly model the arrival process of…
This paper introduces a theoretical framework for the analysis and control of the stochastic susceptible-infected-removed (SIR) spreading process over a network of heterogeneous agents. In our analysis, we analyze the exact networked Markov…
Estimation of epidemiological and population parameters from molecular sequence data has become central to the understanding of infectious disease dynamics. Various models have been proposed to infer details of the dynamics that describe…
This paper considers the problem of designing time-dependent, real-time control policies for controllable nonlinear diffusion processes, with the goal of obtaining maximally-informative observations about parameters of interest. More…
We consider state and parameter estimation for compartmental models having both time-varying and time-invariant parameters. Though the described Bayesian computational framework is general, we look at a specific application to the…
This paper presents a new parameter estimation method for It\^{o} diffusions such that the resulting model predicts the equilibrium statistics as well as the sensitivities of the underlying system to external disturbances. Our formulation…
We consider a stable Cox--Ingersoll--Ross process driven by a standard Wiener process and a spectrally positive strictly stable L\'evy process, and we study asymptotic properties of the maximum likelihood estimator (MLE) for its growth rate…
This paper investigates asymptotic behavior of a stochastic SIR epidemic model, which is a system with degenerate diffusion. It gives sufficient conditions that are very close to the necessary conditions for the permanence. In addition,…