Related papers: Thin-thick approach to martingale representations …
The scattering of electromagnetic waves from obstacles with wave-material interaction in thin layers on the surface is described by generalized impedance boundary conditions, which provide effective approximate models. In particular, this…
We analyse the structure of local martingale deflators projected on smaller filtrations. In a general continuous-path setting, we show that the local martingale part in the multiplicative Doob-Meyer decomposition of projected local…
We study the convergence in $L^2$ of the time slicing approximation of Feynman path integrals under low regularity assumptions on the potential. Inspired by the custom in Physics and Chemistry, the approximate propagators considered here…
We solve explicitly the following problem: for a given probability measure mu, we specify a generalised martingale diffusion X which, stopped at an independent exponential time T, is distributed according to mu. The process X is specified…
Renewal processes with heavy-tailed power law distributed sojourn times are commonly encountered in physical modelling and so typical fluctuations of observables of interest have been investigated in detail. To describe rare events the rate…
The Tensor-Train (TT) format is a highly compact low-rank representation for high-dimensional tensors. TT is particularly useful when representing approximations to the solutions of certain types of parametrized partial differential…
Location of non-stationary forced oscillation (FO) sources can be a challenging task, especially in cases under resonance condition with natural system modes, where the magnitudes of the oscillations could be greater in places far from the…
Assume a L\'evy process $X$ on the time interval $[0,1]$ that is an $L_2$-martingale and let $Y$ be either its stochastic exponential or $X$ itself. We consider Riemann-approximations of certain stochastic integrals driven by $Y$ and relate…
We consider particle filters with weakly informative observations (or `potentials') relative to the latent state dynamics. The particular focus of this work is on particle filters to approximate time-discretisations of continuous-time…
The paper analyses the sensitivity of the finite time horizon boundary non-crossing probability $F(g)$ of a general time-inhomogeneous diffusion process to perturbations of the boundary $g$. We prove that, for boundaries $g\in C^2,$ this…
Researchers from different areas have independently defined extensions of the usual weak convergence of laws of stochastic processes with the goal of adequately accounting for the flow of information. Natural approaches are convergence of…
We study the optional projection of a standard Brownian motion on the natural filtration of certain kinds of observation processes. The observation process, $Y$, is defined as a solution of a stochastic differential equation such that it…
We construct intrinsic on-and off-diagonal upper and lower estimates for the transition probability density of a L\'evy process in small time. By intrinsic we mean that such estimates reflect the structure of the characteristic exponent of…
Probabilistic Latent Tensor Factorization (PLTF) is a recently proposed probabilistic framework for modelling multi-way data. Not only the common tensor factorization models but also any arbitrary tensor factorization structure can be…
We show that representations of the Thompson group $F$ in the automorphisms of a noncommutative probability space yield a large class of bilateral stationary noncommutative Markov processes. As a partial converse, bilateral stationary…
In this paper we study progressive filtration expansions with cadlag processes. Using results from the weak convergence of sigma fields theory, we first establish a semimartingale convergence theorem. Then we apply it in a filtration…
We study frequency linear-time temporal logic (fLTL) which extends the linear-time temporal logic (LTL) with a path operator $G^p$ expressing that on a path, certain formula holds with at least a given frequency p, thus relaxing the…
It has been observed in numerous experiments, simulations, and various theoretical treatments that the spreading of particles can be modeled by the continuous-time random walk. We consider two well-known cases, i.e., Gaussian displacements…
In this paper, we introduce and study a convoluted version of the time fractional Poisson process by taking the discrete convolution with respect to space variable in the system of fractional differential equations that governs its state…
A time-discrete approach avoids the assumption of an 'integration sense'. New path increments (in a short time step) are complete in the order of that step, and not Gaussian distributed when the noise is multiplicative; this eliminates an…