Related papers: Variance Decay Property for Filter Stability
Nonlinear partial differential equations are central to physics, engineering, and finance. Except in a limited number of integrable cases, their solution generally requires numerical methods whose cost becomes prohibitive in…
We consider stochastic semilinear partial differential equations with Lipschitz nonlinear terms. We prove existence and uniqueness of an invariant measure and the existence of a solution for the corresponding Kolmogorov equation in the…
This paper addresses the detection of a stochastic process in noise from irregular samples. We consider two hypotheses. The \emph{noise only} hypothesis amounts to model the observations as a sample of a i.i.d. Gaussian random variables…
A new approach for robust Hinfty filtering for a class of Lipschitz nonlinear systems with time-varying uncertainties both in the linear and nonlinear parts of the system is proposed in an LMI framework. The admissible Lipschitz constant of…
A key action for enhancing the sensitivity of gravitational wave (GW) detectors based on laser interferometry is to increase the laser power. However, in such a high-power regime, a nonlinear optomechanical phenomenon called parametric…
The design of an observer-based state feedback (OBSF) controller with guaranteed passivity properties for port-Hamiltonian systems (PHS) is addressed using linear matrix inequalities (LMIs). The observer gain is freely chosen and the LMIs…
In this paper we discuss backward stochastic differential equations with Markov chain noise, having continuous drivers. We obtain the existence of a solution which is possibly not unique. Moreover, we show there is a minimal solution for…
In this paper, we consider the Cauchy problem for the nonlinear fractional conservation laws driven by a multiplicative noise. In particular, we are concerned with the well-posedness theory and the study of the long-time behavior of…
In this paper, we present a unified optimal and exponentially stable filter for linear discrete-time stochastic systems that simultaneously estimates the states and unknown inputs in an unbiased minimum-variance sense, without making any…
A nonhomogeneous hidden semi-Markov model is proposed to segment toroidal time series according to a finite number of latent regimes and, simultaneously, estimate the influence of time-varying covariates on the process' survival under each…
We consider a stochastic partial differential equation with logarithmic (or negative power) nonlinearity, with one reflection at 0 and with a constraint of conservation of the space average. The equation, driven by the derivative in space…
The long time behavior of a kind of fully magnetic effected nonlinear piezoelectric beam with viscoelastic infinite memory is considered. The well-posedness of this nonlinear coupled PDEs system is showed by mean of the semigroup theories…
We study the instability of standing-wave solutions $e^{i\omega t}\phi_{\omega}(x)$ to the inhomogeneous nonlinear Schr\"{o}dinger equation $$i\phi_t=-\triangle\phi+|x|^2\phi-|x|^b|\phi|^{p-1}\phi, \qquad \in\mathbb{R}^N, $$ where $ b > 0 $…
In this paper, we present an optimal filter for linear time-varying continuous-time stochastic systems that simultaneously estimates the states and unknown inputs in an unbiased minimum-variance sense. We first show that the unknown inputs…
We consider the problem of approximating optimal in the Minimum Mean Squared Error (MMSE) sense nonlinear filters in a discrete time setting, exploiting properties of stochastically convergent state process approximations. More…
In this paper, a new global exponential stability criterion is obtained for a general multidimensional delay difference equation using induction arguments. In the cases that the difference equation is periodic, we prove the existence of a…
The present paper introduces stochastic velocity as improvement for moving particle semi-implicit (MPS) method. This improvement is to overcome energy loss caused by numerical dissipation in the basic MPS that brings about rapid decay of…
We investigate the use of a certain class of functional inequalities known as weak Poincar\'e inequalities to bound convergence of Markov chains to equilibrium. We show that this enables the straightforward and transparent derivation of…
In this paper we consider iterative methods for stochastic variational inequalities (s.v.i.) with monotone operators. Our basic assumption is that the operator possesses both smooth and nonsmooth components. Further, only noisy observations…
The standard version of the policy iteration (PI) algorithm fails for semicontinuous models, that is, for models with lower semicontinuous one-step costs and weakly continuous transition law. This is due to the lack of continuity properties…