Related papers: Generalised Hyperbolic State-space Models for Infe…

We study a one-dimensional kinetic stochastic model driven by a L{\'e}vy process with a non-linear time-inhomogeneous drift. More precisely, the process $(V,X)$ is considered, where $X$ is the position of the particle and its velocity $V$…

Accurate learning of system dynamics is becoming increasingly crucial for advanced control and decision-making in engineering. However, real-world systems often exhibit multiple channels and highly nonlinear transition dynamics, challenging…

Inspired by the ubiquitous use of differential equations to model continuous dynamics across diverse scientific and engineering domains, we propose a novel and intuitive approach to continuous sequence modeling. Our method interprets…

Stochastic Gradient Langevin Dynamics (SGLD) is a popular variant of Stochastic Gradient Descent, where properly scaled isotropic Gaussian noise is added to an unbiased estimate of the gradient at each iteration. This modest change allows…

This paper studies homogenization of stochastic differential systems. The standard example of this phenomenon is the small mass limit of Hamiltonian systems. We consider this case first from the heuristic point of view, stressing the role…

In conventional ODE modelling coefficients of an equation driving the system state forward in time are estimated. However, for many complex systems it is practically impossible to determine the equations or interactions governing the…

Stochastic kinetic models (SKMs) are increasingly used to account for the inherent stochasticity exhibited by interacting populations of species in areas such as epidemiology, population ecology and systems biology. Species numbers are…

This paper presents a continuous and discrete Lagrangian theory for stochastic Hamiltonian systems on manifolds. The main result is to derive stochastic governing equations for such systems from a critical point of a stochastic action.…

We developed a novel autonomously dynamic nonlocal turbulence model for the large and very large eddy simulation (LES, VLES) of the homogeneous isotropic turbulent flows (HIT). The model is based on a generalized (integer-to-noninteger)…

Recently, extracting data-driven governing laws of dynamical systems through deep learning frameworks has gained a lot of attention in various fields. Moreover, a growing amount of research work tends to transfer deterministic dynamical…

Stochastic gradient Markov Chain Monte Carlo (SGMCMC) is considered the gold standard for Bayesian inference in large-scale models, such as Bayesian neural networks. Since practitioners face speed versus accuracy tradeoffs in these models,…

The Latent Stochastic Differential Equation (SDE) is a powerful tool for time series and sequence modeling. However, training Latent SDEs typically relies on adjoint sensitivity methods, which depend on simulation and backpropagation…

This study examines the challenges of modeling complex and noisy data related to socioeconomic factors over time, with a focus on data from various districts in Odisha, India. Traditional time-series models struggle to capture both trends…

Gaussian Process state-space models capture complex temporal dependencies in a principled manner by placing a Gaussian Process prior on the transition function. These models have a natural interpretation as discretized stochastic…

In this paper, we study reflected generalized backward doubly stochastic differential equations driven by Teugels martingales associated with L\'evy process (RGBDSDELs, in short) with one continuous barrier. Under uniformly Lipschitz…

Our approach is part of the close link between continuous dissipative dynamical systems and optimization algorithms. We aim to solve convex minimization problems by means of stochastic inertial differential equations which are driven by the…

Score-based generative models based on stochastic differential equations (SDEs) achieve impressive performance in sampling from unknown distributions, but often fail to satisfy underlying constraints. We propose a constrained generative…

Stochastic gradient descent (SGD) is a popular algorithm for minimizing objective functions that arise in machine learning. For constant step-sized SGD, the iterates form a Markov chain on a general state space. Focusing on a class of…

We consider Markov models of stochastic processes where the next-step conditional distribution is defined by a kernel density estimator (KDE), similar to Markov forecast densities and certain time-series bootstrap schemes. The KDE Markov…

In this work, we present a novel approach to system identification for dynamical systems, based on a specific class of Deep Gaussian Processes (Deep GPs). These models are constructed by interconnecting linear dynamic GPs (equivalent to…