Related papers: Variance Decay Property for Filter Stability
We consider a nonlinear filtering problem of multiscale non-Gaussian signal processes and observation processes with jumps. Firstly, we prove that the dimension for the signal system can be reduced by a homogenized approach. Secondly,…
This paper deals with parameter estimation in pair hidden Markov models (pair-HMMs). We first provide a rigorous formalism for these models and discuss possible definitions of likelihoods. The model being biologically motivated, some…
When is a nonlinear filter stable with respect to its initial condition? In spite of the recent progress, this question still lacks a complete answer in general. Currently available results indicate that stability of the filter depends on…
This paper studies whether numerically preserving monotonic properties can offer modelling advantages in data assimilation, particularly when the signal or data is a realization of a stochastic partial differential equation (SPDE) or…
This paper discusses the problem of estimating a stochastic signal from nonlinear uncertain observations with time-correlated additive noise described by a first-order Markov process. Random deception attacks are assumed to be launched by…
This paper aims to provide various applications for second-order variational analysis of extended-real-valued piecewise liner functions recently obtained in [1]. We mainly focus here on establishing relationships between full stability of…
The prevalence of hidden Markov models (HMMs) in various applications of statistical signal processing and communications is a testament to the power and flexibility of the model. In this paper, we link the identifiability problem with…
Weak Feller property of controlled and control-free Markov chains lead to many desirable properties. In control-free setups this leads to the existence of invariant probability measures for compact spaces and applicability of numerical…
In an earlier work made by the first author with J. Turi (Degenerate Dirichlet Problems Related to the Invariant Measure of Elasto-Plastic Oscillators, AMO, 2008), the solution of a stochastic variational inequality modeling an…
Strong Feller property and irreducibility are study for a class of non-linear monotone stochastic partial differential equations with multiplicative noise. H\"older continuity of the associated Markov semigroups are discussed in some…
Recently, there has been a surge of interest in using spectral methods for estimating latent variable models. However, it is usually assumed that the distribution of the observations conditioned on the latent variables is either discrete or…
Magnetizable piezoelectric beams exhibit strong couplings between mechanical, electric, and magnetic fields, significantly affecting their high-frequency vibrational behavior. Ensuring exponential stability under boundary feedback…
Parametric Instability (PI) is a phenomenon that results from resonant interactions between optical and acoustic modes of a laser cavity. This is problematic in gravitational wave interferometers where the high intra-cavity power and low…
We use the Bakry-\'{E}mery curvature-dimension criterion and $\Gamma$-calculus to establish the Poincar\'{e} inequality with monomial Gaussian measure, and then apply the duality approach to study its improvements and its gradient…
Semilinear stochastic evolution equations with multiplicative L\'evy noise and monotone nonlinear drift are considered. Unlike other similar work we do not impose coercivity conditions on coefficients. Existence and uniqueness of the mild…
The formalism of state estimation and hidden Markov models (HMMs) can simplify and clarify the discussion of stochastic thermodynamics in the presence of feedback and measurement errors. After reviewing the basic formalism, we use it to…
This article considers a model problem of elastoplasticity with linearly kinematic hardening and presents hp-finite element discretizations of two equivalent weak formulations each having their respective advantages. A mixed variational…
Over the last decade, hidden Markov models (HMMs) have become increasingly popular in statistical ecology, where they constitute natural tools for studying animal behavior based on complex sensor data. Corresponding analyses sometimes…
The problem of detecting a wide-sense stationary Gaussian signal process embedded in white Gaussian noise, where the power spectral density of the signal process exhibits uncertainty, is investigated. The performance of minimax robust…
We study a class of stochastic models of mass transport on discrete vertex set $V$. For these models, a one-parameter family of homogeneous product measures $\otimes_{i\in V} \nu_\theta$ is reversible. We prove that the set of mixtures of…