Related papers: Stochastic generalized Kolmogorov systems with sma…
We consider a particular class of n-dimensional homogeneous diffusions all of which have an identity diffusion matrix and a drift function that is piecewise constant and scale invariant. Abstract stochastic calculus immediately gives us…
In this paper, we construct a type of interacting particle systems to approximate a class of stochastic different equations whose coefficients depend on the conditional probability distributions of the processes given partial observations.…
We present a method for the approximate propagation of mean and covariance of a probability distribution through ordinary differential equations (ODE) with discontinous right-hand side. For piecewise affine systems, a normalization of the…
A problem of monoenergetic particles pulse reflection from half-infinite stratified medium is considered in conditions of elastic scattering with absorbtion account. The theory is based on multiple scattering series solution of Kolmogorov…
In this paper, we study the estimation of drift and diffusion coefficients in a two dimensional system of N interacting particles modeled by a degenerate stochastic differential equation. We consider both complete and partial observation…
We show the existence and uniqueness of fundamental solution operators to Kolmo\-gorov-Fokker-Planck equations with rough (measurable) coefficients and local or integral diffusion on finite and infinite time strips. In the local case, that…
In this paper, we study quasi-stationarity for a large class of Kolmogorov diffusions. The main novelty here is that we allow the drift to go to $- \infty$ at the origin, and the diffusion to have an entrance boundary at $+\infty$. These…
In this paper, we are interested in a generalised Vlasov equation, which describes the evolution of the probability density of a particle evolving according to a generalised Vlasov dynamic. The achievement of the paper is twofold. Firstly,…
We propose a new stabilised finite element method for the classical Kolmogorov equation. The latter serves as a basic model problem for large classes of kinetic-type equations and, crucially, is characterised by degenerate diffusion. The…
A prevalent problem in general state space models is the approximation of the smoothing distribution of a state conditional on the observations from the past, the present, and the future. The aim of this paper is to provide a rigorous…
We address in this paper a nonlinear parabolic system, which is built to retain the main mathematical difficulties of the P1 radiative diffusion physical model. We propose a finite volume fractional-step scheme for this problem enjoying the…
Based on cumulative distribution functions, Fourier series expansion and Kolmogorov tests, we present a simple method to display probability densities for data drawn from a continuous distribution. It is often more efficient than using…
The stochastic nature of chemical reactions involving randomly fluctuating population sizes has lead to a growing research interest in discrete-state stochastic models and their analysis. A widely-used approach is the description of the…
A general method is proposed which allows one to estimate drift and diffusion coefficients of a stochastic process governed by a Langevin equation. It extends a previously devised approach [R. Friedrich et al., Physics Letters A 271, 217…
In this article a stochastic particle system approximation to the parametric sensitivity in the Smoluchowski coagulation equation is introduced. The parametric sensitivity is the derivative of the solution to the equation with respect to…
An approximation to the solution of a stochastic parabolic equation is constructed using the Galerkin approximation followed by the Wiener Chaos decomposition. The result is applied to the nonlinear filtering problem for the time…
This paper is focused on the convergence analysis of an adaptive stochastic collocation algorithm for the stationary diffusion equation with parametric coefficient. The algorithm employs sparse grid collocation in the parameter domain…
This paper presents a new Metropolis-adjusted Langevin algorithm (MALA) that uses convex analysis to simulate efficiently from high-dimensional densities that are log-concave, a class of probability distributions that is widely used in…
For Kolmogorov test we find natural conditions of uniform consistency of sets of alternatives approaching to hypothesis. Sets of alternatives can be defined both in terms of distribution functions and in terms of densities.
This paper proposes an adaptive time-stepping mothods for stochastic diffusion systems whose drift and diffusion coefficients are locally Lipschitz continuous and may exhibit polynomial growth. By controlling the growth of both the drift…