Related papers: Non-parametric estimation for the stochastic wave …
We study the mechanism of stochastic resonance in a two dimensional Landau Ginzburg equation perturbed by a white noise. We shortly review how to renormalize the equation in order to avoid ultraviolet divergences. Next we show that the…
We present a Bayesian non-parametric way of inferring stochastic differential equations for both regression tasks and continuous-time dynamical modelling. The work has high emphasis on the stochastic part of the differential equation, also…
We study parametric estimation for second order linear parabolic stochastic partial differential equations (SPDEs) in two space dimensions driven by two types of $Q$-Wiener processes based on high frequency spatio-temporal data. First, we…
This paper focuses on stability estimates of the inverse random source problems for the polyharmonic, electromagnetic, and elastic wave equations. The source is represented as a microlocally isotropic Gaussian random field, which is defined…
Large-time asymptotic properties of solutions to a class of semilinear stochastic wave equations with damping in a bounded domain are considered. First an energy inequality and the exponential bound for a linear stochastic equation are…
We study a model of a nonlinear oscillator with a random frequency and derive the asymptotic behavior of the probability distribution function when the noise is white. In the small damping limit, we show that the physical observables grow…
Timeseries generated from a dynamical source can often be modeled as sample paths of a stochastic differential equation (SDE). The timeseries thus reflects the motion of a particle which flows along the direction provided by a drift /…
We analyze the spatial asymptotic properties of the solution to the stochastic heat equation driven by an additive L\'evy space-time white noise. For fixed time $t > 0$ and space $x \in \mathbb{R}^d$ we determine the exact tail behavior of…
We study a nonlocal wave equation with logarithmic damping which is rather weak in the low frequency zone as compared with frequently studied strong damping case. We consider the Cauchy problem for this model in the whole space and we study…
The numerical evaluation of statistics plays a crucial role in statistical physics and its applied fields. It is possible to evaluate the statistics for a stochastic differential equation with Gaussian white noise via the corresponding…
We introduce a stochastic partial differential equation (SPDE) with elliptic operator in divergence form, with measurable and bounded coefficients and driven by space-time white noise. Such SPDEs could be used in mathematical modelling of…
In this paper, we consider parameter estimation for stochastic differential equations driven by Wiener processes and compound Poisson processes. We assume unknown parameters corresponding to coefficients of the drift term, diffusion term,…
We develop a general framework for state estimation in systems modeled with noise-polluted continuous time dynamics and discrete time noisy measurements. Our approach is based on maximum likelihood estimation and employs the calculus of…
The influence of small random perturbations on a deterministic dynamical system with a locally stable equilibrium is considered. The perturbed system is described by the It\^{o} stochastic differential equation. It is assumed that the noise…
Passive imaging refers to problems where waves generated by unknown sources are recorded and used to image the medium through which they travel. The sources are typically modelled as a random variable and it is assumed that some statistical…
Numerical approximation of a stochastic partial integro-differential equation driven by a space- time white noise is studied by truncating a series representation of the noise, with finite element method for spatial discretization and…
We study space--time isogeometric discretizations of the linear acoustic wave equation that use splines of arbitrary degree p, both in space and time. We propose a space--time variational formulation that is obtained by adding a…
We derive precise late-time asymptotics for solutions to the wave equation on spherically symmetric, stationary and asymptotically flat spacetimes including as special cases the Schwarzschild and Reissner-Nordstrom families of black holes.…
Stochastic resonance is a phenomenon where a noise of appropriate intensity enhances the input signal strength. In this work, by employing the recently developed convex optimization methods in the context of dynamical systems and stochastic…
We propose a general approach to construct weighted likelihood estimating equations with the aim of obtaining robust parameter estimates. We modify the standard likelihood equations by incorporating a weight that reflects the statistical…