Related papers: Variance Decay Property for Filter Stability
We present a reachability based approach to establish unique ergodicity of non-linear filter processes where state space of a hidden Markov model is a compact Polish metric space and the observation space is a Polish metric space. We also…
We consider a Bayesian adaptive optimal stochastic control problem where a hidden static signal has a non-separable influence on the drift of a noisy observation. Being allowed to control the specific form of this dependence, we aim at…
A novel approximate Bayesian filter based on backward stochastic differential equations is introduced. It uses a nonlinear Feynman--Kac representation of the filtering problem and the approximation of an unnormalized filtering density using…
Hidden Markov models (HMM) have been widely used by scientists to model stochastic systems: the underlying process is a discrete Markov chain and the observations are noisy realizations of the underlying process. Determining the number of…
Using the white noise setting, in particular the Wick product, the Hermite transform, and the Kondratiev space, we present a new approach to study linear stochastic systems, where randomness is also included in the transfer function. We…
Understanding how time delays impact the stability of a delay differential equation is important for modeling many natural and technological systems that experience time delays. Here we introduce a new stability criterion for…
The effect of multiplicative white noise on the resonance capture in non-isochronous systems with time-decaying pumping is investigated. It is assumed that the intensity of perturbations decays with time, and its frequency is asymptotically…
We consider the filtering of continuous-time finite-state hidden Markov models, where the rate and observation matrices depend on unknown time-dependent parameters, for which no prior or stochastic model is available. We quantify and…
The objective of this article is to study the asymptotic behavior of a new particle filtering approach in the context of hidden Markov models (HMMs). In particular, we develop an algorithm where the latent-state sequence is segmented into…
This paper mainly discusses the $H_{\infty}$ filtering of general nonlinear discrete time-varying stochastic systems. A nonlinear discrete-time stochastic bounded real lemma (SBRL) is firstly obtained by means of the smoothness of the…
This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…
In this article, we study stochastic partial differential equations with two reflecting walls, driven by space-time white noise with non-constant diffusion coefficients under periodic boundary conditions. The existence and uniqueness of…
This paper studies the 1D stochastic Allen--Cahn equation on a bounded domain driven by localized white noise. We prove that the associated Markov process admits a unique invariant measure and is exponential mixing. The main challenge lies…
Hidden Markov models (HMMs) are flexible tools for clustering dependent data coming from unknown populations, allowing nonparametric modelling of the population densities. Identifiability fails when the data is in fact independent and…
In this paper, we develop the mathematical framework for filtering problems arising from biophysical applications where data is collected from confocal laser scanning microscopy recordings of the space-time evolution of intracellular wave…
Particle filters have, in recent years, been found to perform well in highly nonlinear problems as well as in estimation of parameters. However, there is still the problem of particle degeneracy in particle filters which has led to the…
Various approaches to studying the stability of solutions of nonlinear PDEs lead to explicit formulae determining the stability or instability of the wave for a wide range of classes of equations. However, these are typically specialized to…
In this paper, we study the indirect boundary stability and exact controllability of a one-dimensional Timoshenko system. In the first part of the paper, we consider the Timoshenko system with only one boundary fractional damping. We first…
This paper deals with the existence and uniqueness of solutions for a nonlinear boundary value problem involving a sequential $\psi$-Hilfer fractional integro-differential equations with nonlocal boundary conditions. The existence and…
In this paper, a new method of H_infinity observer design for Lipschitz nonlinear systems is proposed in the form of an LMI optimization problem. The proposed observer has guaranteed decay rate (exponential convergence) and is robust…