Related papers: Parameter estimation from an Ornstein-Uhlenbeck pr…
In a previous article we developed an approach to the optimal (minimum variance, unbiased) statistical estimation technique for the equilibrium displacement of a damped, harmonic oscillator in the presence of thermal noise. Here, we expand…
When stock prices are observed at high frequencies, more information can be utilized in estimation of parameters of the price process. However, high-frequency data are contaminated by the market microstructure noise which causes significant…
This paper studies Langevin equation with random damping due to multiplicative noise and its solution. Two types of multiplicative noise, namely the dichotomous noise and fractional Gaussian noise are considered. Their solutions are…
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…
We determine a fundamental upper bound on the performance of any adaptive protocol for discrimination or estimation of a channel which has an unknown parameter encoded in the state of its environment. Since our approach relies on the…
The paper considers the problem of estimating the parameters in a continuous time regression model with a non-Gaussian noise of pulse type. The noise is specified by the Ornstein-Uhlenbeck process driven by the mixture of a Brownian motion…
By working in the small persistence time limit, we determine the steady-state distribution of an Active Ornstein Uhlenbeck Particle (AOUP) experiencing, in addition to self-propulsion, a Gaussian white noise modelling a bath at temperature…
The Langevin formulation of a number of well-known stochastic processes involves multiplicative noise. In this work we present a systematic mapping of a process with multiplicative noise to a related process with additive noise, which may…
The Ornstein-Uhlenbeck process may be used to generate a noise signal with a finite correlation time. If a one-dimensional stochastic process is driven by such a noise source, it may be analysed by solving a Fokker-Planck equation in two…
In this article, we study the problem of parameter estimation for a discrete Ornstein - Uhlenbeck model driven by Poisson fractional noise. Based on random walk approximation for the noise, we study least squares and maximum likelihood…
\noindent \textbf{Abstract}: We consider the parameter estimation problem for the Ornstein-Uhlenbeck process $X$ driven by a fractional Ornstein-Uhlenbeck process $V$, i.e. the pair of processes defined by the non-Markovian continuous-time…
We consider a quantum two-level system perturbed by classical noise. The noise is implemented as a stationary diffusion process in the off-diagonal matrix elements of the Hamiltonian, representing a transverse magnetic field. We determine…
Noise usually has an unwelcome influence on system performance. For instance, noise inevitably affects the low-frequency mechanical freedom in optomechanical experiments. However, we investigate here the beneficial effects of thermal noise…
We propose a sequential measurement protocol for accurate low-temperature estimation. The resulting correlated outputs significantly enhance the low temperature precision compared to that of the independent measurement scheme. This…
This article establishes cutoff thermalization (also known as the cutoff phenomenon) for a class of generalized Ornstein-Uhlenbeck systems $(X^\varepsilon_t(x))_{t\geqslant 0}$ with $\varepsilon$-small additive L\'evy noise and initial…
Noise aids the encoding of continuous signals into pulse sequences by way of stochastic resonance and endows the encoding device with a preferred frequency. We study encoding by a threshold device based on the Ornstein-Uhlenbeck process,…
Stochastic differential equations such as the Ornstein-Uhlenbeck process have long been used to model realworld probablistic events such as stock prices and temperature fluctuations. While statistical methods such as Maximum Likelihood…
We demonstrate how the ineluctable presence of thermal noise alters the measurement of forces acting on microscopic and nanoscopic objects. We quantify this effect exemplarily for a Brownian particle near a wall subjected to gravitational…
Several integrate-to-threshold models with differing temporal integration mechanisms have been proposed to describe the accumulation of sensory evidence to a prescribed level prior to motor response in perceptual decision-making tasks. An…
Noise and errors are unavoidable in any realistic quantum process, including processes designed to reduce noise and errors in the first place. In particular, quantum thermodynamical protocols for cooling can be significantly affected,…