Related papers: Nonparametric Estimation for SDE with Sparsely Sam…
We consider parametric estimation for a second order linear parabolic stochastic partial differential equation (SPDE) in two space dimensions driven by a $Q$-Wiener process with a small noise based on high frequency spatio-temporal data. We…
An approximate maximum likelihood method of estimation of diffusion parameters $(\vartheta,\sigma)$ based on discrete observations of a diffusion $X$ along fixed time-interval $[0,T]$ and Euler approximation of integrals is analyzed. We…
We deal with the problem of parameter estimation in stochastic differential equations (SDEs) in a partially observed framework. We aim to design a method working for both elliptic and hypoelliptic SDEs, the latters being characterized by…
We consider nonparametric invariant density and drift estimation for a class of multidimensional degenerate resp. hypoelliptic diffusion processes, so-called stochastic damping Hamiltonian systems or kinetic diffusions, under anisotropic…
In this article, we present a general methodology for control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main result of this…
We study a least squares estimator for an unknown parameter in the drift coefficient of a path- distribution dependent stochastic differential equation involving a small dispersion parameter epsilon greater than zero. The estimator, based…
We deal with parametric estimation for a parabolic linear second order stochastic partial differential equation (SPDE) with a small dispersion parameter based on high frequency data which are observed in time and space. By using the thinned…
This paper investigates the well-posedness and small-noise asymptotics of a class of stochastic partial differential equations defined on a bounded domain of $\mathbb{R}^d$, where the diffusion coefficient depends nonlinearly and…
The path-specific effect (PSE) is of primary interest in mediation analysis when multiple intermediate variables between treatment and outcome are observed, as it can isolate the specific effect through each mediator, thus mitigating…
We consider the numerical approximation of general semilinear parabolic stochastic partial differential equations (SPDEs) driven by additive space-time noise. In contrast to the standard time stepping methods which uses basic increments of…
This paper deals with the consistency, a rate of convergence and the asymptotic distribution of a nonparametric estimator of the trend in the Skorokhod reflection problem defined by a fractional SDE and a Moreau sweeping process.
The paper studies asymptotic properties of estimators of multidimensional stochastic differential equations driven by Brownian motions from high-frequency discrete data. Consistency and central limit properties of a class of estimators of…
This paper considers the distributed sparse identification problem over wireless sensor networks such that all sensors cooperatively estimate the unknown sparse parameter vector of stochastic dynamic systems by using the local information…
Estimating parameters of drift and diffusion coefficients for multidimensional stochastic delay equations with small noise are considered. The delay structure is written as an integral form with respect to a delay measure. Our contrast…
Reconstructing PDE solutions from sparse observations is a core challenge in scientific computing. We present FM4PDE, a flow-matching generative framework that learns the joint distribution of PDE coefficients (or initial states) and…
We consider a nonlinear differential equation under the combined influence of small state-dependent Brownian perturbations of size $\varepsilon$, and fast periodic sampling with period $\delta$; $0<\varepsilon, \delta \ll 1$. Thus, state…
We study the nonparametric Nadaraya-Watson estimator of the drift function for ergodic stochastic processes driven by fractional Brownian motion of Hurst parameter H > 1/2. The estimator is based on the discretely observed stochastic…
The present work considers diffusive shock acceleration at non-relativistic shocks using a system of stochastic differential equations (SDE) equivalent to the Fokker-Planck equation. We compute approximate solutions of the transport of…
This article develops a stochastic differential equation (SDE) for modeling the temporal evolution of queue length dynamics at signalized intersections. Inspired by the observed quasiperiodic and self-similar characteristics of the queue…
In this paper we investigate the numerical solution of stochastic partial differential equations (SPDEs) for a wider class of stochastic equations. We focus on non-diagonal colored noise instead of the usual space-time white noise. By…