Related papers: Non-parametric estimation for the stochastic wave …
We interpret steady linear statistical inverse problems as artificial dynamic systems with white noise and introduce a stochastic differential equation (SDE) system where the inverse of the ending time $T$ naturally plays the role of the…
We introduce a new framework for analyzing (Quasi-}Newton type methods applied to non-smooth optimization problems. The source of randomness comes from the evaluation of the (approximation) of the Hessian. We derive, using a variant of…
Observations or measurements taken of a quantum system (a small number of fundamental particles) are inherently random. If the state of the system depends on unknown parameters, then the distribution of the outcome depends on these…
Taking a multidimensional time-homogeneous dynamical system and adding a randomly perturbed time-dependent deterministic signal to some of its components gives rise to a high-dimensional system of stochastic differential equations which is…
In this article, we consider the stochastic wave equation on $\mathbb{R}_{+} \times \mathbb{R}$, driven by a linear multiplicative space-time homogeneous Gaussian noise whose temporal and spatial covariance structures are given by locally…
The problem of parameter estimation by the continuous time observations of a deterministic signal in white gaussian noise is considered. The asymptotic properties of the maximul likelihood estimator are described in the asymptotics of small…
Elastic wave speeds are fundamental in geomechanics and have historically been described by an analytic formula that assumes linearly elastic solid medium. Empirical relations stemming from this assumption were used to determine nonlinearly…
We consider stochastic wave equations in spatial dimensions $d \geq 4$. We assume that the driving noise is given by a Gaussian noise that is white in time and has some spatial correlation. When the spatial correlation is given by the Riesz…
We consider strong approximations of $1+1$-dimensional stochastic PDEs driven by additive space-time white noise. It has been long proposed (Davie-Gaines '01, Jentzen-Kloeden '08), as well as observed in simulations, that approximation…
We unify and extend the semigroup and the PDE approaches to stochastic maximal regularity of time-dependent semilinear parabolic problems with noise given by a cylindrical Brownian motion. We treat random coefficients that are only…
In this paper, we consider the one-dimensional stochastic heat equation driven by a space time white noise. In two different scenarios: {\it (i)} initial condition $u_0=1$ and general nonlinear coefficient $\sigma$ and {\it (ii)}: initial…
Kinetic equations are often appropriate to model the energy density of high frequency waves propagating in highly heterogeneous media. The limitations of the kinetic model are quantified by the statistical instability of the wave energy…
We study the two-dimensional stochastic nonlinear wave equations (SNLW) with an additive space-time white noise forcing. In particular, we introduce a time-dependent renor- malization and prove that SNLW is pathwise locally well-posed. As…
In a wide range of applications, the stochastic properties of the observed time series change over time. The changes often occur gradually rather than abruptly: the properties are (approximately) constant for some time and then slowly start…
We consider parametric estimation for a parabolic linear second order stochastic partial differential equation (SPDE) from high frequency data which are observed in time and space. By using thinned data obtained from the high frequency…
An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous observations under high-frequency asymptotics. Our approach…
We study the long time statistics of a class of semi--linear damped wave equations with polynomial nonlinearities and perturbed by additive Gaussian noise in dimensions 2 and 3. We find that if sufficiently many directions in the phase…
We consider the periodic solutions of a semilinear variable coefficient wave equation arising from the forced vibrations of a nonhomogeneous string and the propagation of seismic waves in nonisotropic media. The variable coefficient…
Quantum technology is increasingly relying on specialised statistical inference methods for analysing quantum measurement data. This motivates the development of "quantum statistics", a field that is shaping up at the overlap of quantum…
We study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observation occurs in nonsynchronous manner. The problem of nonsynchronous observations is important when we consider the analysis…