Related papers: A small time approximation for the solution to the…

A mathematical framework is presented to study the evolution of multi-point cumulants in nonlinear dispersive partial differential equations with random input data, based on the theory of weak wave turbulence (WWT). This framework is used…

The discrete-time approximation for nonlinear filtering problems is related to both of strong and weak approximations of stochastic differential equations. In this paper, we propose a new method of proof for the convergence of approximate…

The Goldstein-Taylor equations can be thought of as a simplified version of a BGK system, where the velocity variable is constricted to a discrete set of values. It is intimately related to turbulent fluid motion and the telegrapher's…

An important objective of the classical processing of stationary random sequences under nonparametric uncertainty is the problem of filtering in case when the distribution of the underlying signal is unknown. In this paper it is assumed…

We study a nonlinear recombination model from population genetics as a combinatorial version of the Kac-Boltzmann equation from kinetic theory. Following Kac's approach, the nonlinear model is approximated by a mean field linear evolution…

In this paper, we show almost global existence of small solutions to the Cauchy problem for symmetric system of wave equations with quadratic (in 3D) or cubic (in 2D) nonlinear terms and multiple propagation speeds. To measure the size of…

We study a nonlocal nonlinear parabolic problem with a fractional time derivative. We prove a Krylov-Safonov type result; mainly, we prove Holder regularity of solutions. Our estimates remain uniform as the order of the fractional time…

Combining the results of [14] and [10], the trend to equilibrium in large time is studied for a large particle system associated to a Vlasov-Fokker-Planck equation. Under some conditions (that allow non-convex confining potentials) the…

An important problem in applied science is the continuous nonlinear filtering problem, i.e., the estimation of a Langevin state that is observed indirectly. In this paper, it is shown that Euclidean quantum mechanics is closely related to…

This paper proposes a probabilistic approach to the problem of intrinsic filtering of a system on a matrix Lie group with invariance properties. The problem of an invariant continuous-time model with discrete-time measurements is cast into…

We introduce and study some backward Kolmogorov equations associated to stochastic filtering problems. Measure-valued processed arise naturally in the context of stochastic filtering and one can formulate two stochastic differential…

The work concerns nonlinear filtering problems of stochastic differential equations with correlated L\'evy noises. First, we establish the Kushner-Stratonovich and Zakai equations through martingale representation theorems and the…

For continuous-time linear stochastic dynamical systems driven by Wiener processes, we consider the problem of designing ensemble filters when the observation process is randomly time-sampled. We propose a continuous-discrete McKean--Vlasov…

Fractional Poisson processes, a rapidly growing area of non-Markovian stochastic processes, are useful in statistics to describe data from counting processes when waiting times are not exponentially distributed. We show that the fractional…

This paper is concerned with the Fokker-Planck (FP) description of classical stochastic systems with discrete time delay. The non-Markovian character of the corresponding Langevin dynamics naturally leads to a coupled infinite hierarchy of…

We introduce and analyze a post-processing for a family of variational space-time approximations to wave problems. The discretization in space and time is based on continuous finite element methods. The post-processing lifts the fully…

We consider the numerical approximation of a system of partial differential equations involving a nonlinear Schr\"odinger equation coupled with a hyperbolic conservation law. This system arises in models for the interaction of short and…

We study a Cucker-Smale-type flocking model with distributed time delay where individuals interact with each other through normalized communication weights. Based on a Lyapunov functional approach, we provide sufficient conditions for the…

We present recent results on the existence of a continuous time limit for Ensemble Kalman Filter algorithms. In the setting of continuous signal and observation processes, we apply the original Ensemble Kalman Filter algorithm proposed by…

We study the convergence of a Zakharov system driven by a time white noise, colored in space, to a multiplicative stochastic nonlinear Schr{\"o}dinger equation, as the ion-sound speed tends to infinity. In the absence of noise, the…