Related papers: Level-crossing distributions of kinematic variable…
In this paper, we study the estimation of drift and diffusion coefficients in a two dimensional system of N interacting particles modeled by a degenerate stochastic differential equation. We consider both complete and partial observation…
The bifurcation of plane waves to localised structures is investigated in the Dysthe equation, which incorporates the effects of mean flow and wave steepening. Through the use of phase modulation techniques, it is demonstrated that such…
Recent literature has found conditional transition rates to be a useful tool for avoiding Markov assumptions in multi-state models. While the estimation of univariate conditional transition rates has been extensively studied, the…
Distributions of wave characteristics of ocean waves, such as wave slope, waveheight or wavelength, are an important tool in a variety of oceanographic applications such as safety of ocean structures or in the study of ship stability, as…
This paper investigates the cross-correlations across multiple climate model errors. We build a Bayesian hierarchical model that accounts for the spatial dependence of individual models as well as cross-covariances across different climate…
Adaptive multilevel splitting algorithms have been introduced rather recently for estimating tail distributions in a fast and efficient way. In particular, they can be used for computing the so-called reactive trajectories corresponding to…
An approach for the description of stochastic systems is derived. Some of the variables in the system are studied forward in time, others backward in time. The approach is based on a perturbation expansion in the strength of the coupling…
The multilevel Monte Carlo (MLMC) method has been used for a wide variety of stochastic applications. In this paper we consider its use in situations in which input random variables can be replaced by similar approximate random variables…
This paper extends Edgeworth-Cornish-Fisher expansions for the distribution and quantiles of nonparametric estimates in two ways. Firstly it allows observations to have different distributions. Secondly it allows the observations to be…
We develop an analytical diffusion-equation-type approximation scheme for the one-dimensional coagulation reaction A+A->A with partial reaction probability on particle encounters which are otherwise hard-core. The new approximation…
We develop a novel computational method for evaluating the extreme excursion probabilities arising for random initialization of nonlinear dynamical systems. The method uses a Markov chain Monte Carlo or a Laplace approximation approach to…
Turbulence in the upper ocean in the submesoscale range (scales smaller than the deformation radius) plays an important role for the heat exchange with the atmosphere and for oceanic biogeochemistry. Its dynamics should strongly depend on…
In this paper, we present a numerical approach to solve the McKean-Vlasov equations, which are distribution-dependent stochastic differential equations, under some non-globally Lipschitz conditions for both the drift and diffusion…
Coastal upwelling, driven by alongshore winds and characterized by cold sea surface temperatures and high upper-ocean nutrient content, is an important physical process sustaining some of the oceans' most productive ecosystems. To fully…
We study a class of second order variational inequalities with bilateral constraints. Under certain conditions we show the existence of a unique viscosity solution of these variational inequalities and give a stochastic representation to…
Adjoint-based sensitivity analysis is routinely used today to assess efficiently the effect of open-loop control on the linear stability properties of unstable flows. Sensitivity maps identify regions where small-amplitude control is the…
Complex systems are often characterized by the interplay of multiple interconnected dynamical processes operating across a range of temporal scales. This phenomenon is widespread in both biological and artificial scenarios, making it…
In this paper, we are interested in conditional McKean-Vlasov jump diffusions, which are also termed as McKean-Vlasov stochastic differential equations with jump idiosyncratic noise and jump common noise. As far as conditional McKean-Vlasov…
Accurately quantifying air-sea fluxes is important for understanding air-sea interactions and improving coupled weather and climate systems. This study introduces a probabilistic framework to represent the highly variable nature of air-sea…
In this paper the filtering of partially observed diffusions, with discrete-time observations, is considered. It is assumed that only biased approximations of the diffusion can be obtained, for choice of an accuracy parameter indexed by…