Related papers: Unbiased Estimation using a Class of Diffusion Pro…

We provide a general methodology for unbiased estimation for intractable stochastic models. We consider situations where the target distribution can be written as an appropriate limit of distributions, and where conventional approaches…

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 consider a 1-dimensional diffusion process X with jumps. The particularity of this model relies in the jumps which are driven by a multidimensional Hawkes process denoted N. This article is dedicated to the study of a nonparametric…

Random sampling is a fundamental tool in modern machine learning and numerical linear algebra for reducing the computational cost of large-scale matrix problems. Existing analyses, however, rely primarily on subspace embedding guarantees,…

We obtain error estimates for strong approximations of a diffusion with a diffusion matrix $\sigma$ and a drift b by the discrete time process defined recursively X_N((n+1)/N) = X_N(n/N)+N^{1/2}\sigma(X_N(n/N))\xi(n+1)+N^{-1}b(XN(n/N));…

We consider the solution to a stochastic differential equation with a drift function which depends smoothly on some real parameter $\lambda$, and admitting a unique invariant measure for any value of $\lambda$ around $\lambda$ = 0. Our aim…

Constructing unbiased estimators from Markov chain Monte Carlo (MCMC) outputs is a difficult problem that has recently received a lot of attention in the statistics and machine learning communities. However, the current unbiased MCMC…

Progressively applying Gaussian noise transforms complex data distributions to approximately Gaussian. Reversing this dynamic defines a generative model. When the forward noising process is given by a Stochastic Differential Equation (SDE),…

This paper deals with the problem of testing for dispersion parameter change in discretely observed diffusion processes when the observations are contaminated by outliers. To lessen the impact of outliers, we first calculate residuals using…

In this study, we generalize a problem of sampling a scalar Gauss Markov Process, namely, the Ornstein-Uhlenbeck (OU) process, where the samples are sent to a remote estimator and the estimator makes a causal estimate of the observed…

Given a Wiener process with unknown and unobservable drift, we try to estimate this drift as effectively but also as quickly as possible, in the presence of a quadratic penalty for the estimation error and of a fixed, positive cost per unit…

We propose a method for estimating first passage time densities of one-dimensional diffusions via Monte Carlo simulation. Our approach involves a representation of the first passage time density as expectation of a functional of the…

High-speed boundary-layer transition is extremely sensitive to the free-stream disturbances which are often uncertain. This uncertainty compromises predictions of models and simulations. To enhance the fidelity of simulations, we directly…

This work introduces a novel nonlinear optimal filtering method, termed the Ensemble Schr{\"o}dinger Bridge nonlinear filter. The proposed filter combines the standard prediction step with a diffusion-generative-modeling-based analysis…

In this paper, we consider an importance sampling problem for a certain rare-event simulations involving the behavior of a diffusion process pertaining to a chain of distributed systems with random perturbations. We also assume that the…

Denoising diffusion models have recently emerged as a powerful class of generative models. They provide state-of-the-art results, not only for unconditional simulation, but also when used to solve conditional simulation problems arising in…

Score-based diffusion models, while achieving remarkable empirical performance, often suffer from low sampling speed, due to extensive function evaluations needed during the sampling phase. Despite a flurry of recent activities towards…

This study employs a neural network that represents the solution to a Schr\"odinger bridge problem to perform super-resolution of 2-m temperature in an urban area. Schr\"odinger bridges generally describe transformations between two data…

We study efficiency of non-parametric estimation of diffusions (stochastic differential equations driven by Brownian motion) from long stationary trajectories. First, we introduce estimators based on conditional expectation which is…

We study parametric inference for diffusion processes when observations occur nonsynchronously and are contaminated by market microstructure noise. We construct a quasi-likelihood function and study asymptotic mixed normality of…