Related papers: Kinetic interacting particle system: parameter est…
We study the convergence of the empirical distribution associated with a system of interacting kinetic particles subject to independent Brownian forcing in a finite horizon setting, using some recent progress on kinetic non-linear partial…
This paper deals with the consistency and a rate of convergence for a Nadaraya-Watson estimator of the drift function of a stochastic differential equation driven by an additive fractional noise. The results of this paper are obtained via…
We consider a one-dimensional diffusion process $(X_t)$ which is observed at $n+1$ discrete times with regular sampling interval $\Delta$. Assuming that $(X_t)$ is strictly stationary, we propose nonparametric estimators of the drift and…
Identification of nonlinear dynamical systems is crucial across various fields, facilitating tasks such as control, prediction, optimization, and fault detection. Many applications require methods capable of handling complex systems while…
We consider the problem of parameter estimation for a class of continuous-time state space models. In particular, we explore the case of a partially observed diffusion, with data also arriving according to a diffusion process. Based upon a…
We analyze a system of stochastic differential equations describing the joint motion of a massive (inert) particle in a viscous fluid in the presence of a gravitational field and a Brownian particle impinging on it from below, which…
Stochastic growth phenomena on curved interfaces are studied by means of stochastic partial differential equations. These are derived as counterparts of linear planar equations on a curved geometry after a reparametrization invariance…
Parameter estimation for a parabolic linear stochastic partial differential equation in one space dimension is studied observing the solution field on a discrete grid in a fixed bounded domain. Considering an infill asymptotic regime in…
An explicit first-order drift-randomized Milstein scheme for a regime switching stochastic differential equation is proposed and its bi-stability and rate of strong convergence are investigated for a non-differentiable drift coefficient.…
Consider discrete time observations (X_{\ell\delta})_{1\leq \ell \leq n+1}$ of the process $X$ satisfying $dX_t= \sqrt{V_t} dB_t$, with $V_t$ a one-dimensional positive diffusion process independent of the Brownian motion $B$. For both the…
For a fixed $T$ and $k \geq 2$, a $k$-dimensional vector stochastic differential equation $dX_t=\mu(X_t, \theta)dt+\nu(X_t)dW_t,$ is studied over a time interval $[0,T]$. Vector of drift parameters $\theta$ is unknown. The dependence in…
The complex dynamics of physical systems can often be modeled with stochastic differential equations. However, computational constraints inhibit the estimation of dynamics from large time-series datasets. I present a method for estimating…
We address the problem of parameter estimation for degenerate diffusion processes defined via the solution of Stochastic Differential Equations (SDEs) with diffusion matrix that is not full-rank. For this class of hypo-elliptic diffusions…
This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…
We study a least square-type estimator for an unknown parameter in the drift coefficient of a stochastic differential equation with additive fractional noise of Hurst parameter H>1/2. The estimator is based on discrete time observations of…
We study the problem of parameter estimation for large exchangeable interacting particle systems when a sample of discrete observations from a single particle is known. We propose a novel method based on martingale estimating functions…
We consider a mean-field system of path-dependent stochastic interacting diffusions in random media over a finite time window. The interaction term is given as a function of the empirical measure and is allowed to be non-linear and path…
We study the nonparametric Nadaraya-Watson estimator of the drift function for ergodic stochastic processes driven by fractional Brownian motion of Hurst parameter H > 1/2. The estimator is based on the discretely observed stochastic…
A quantum stochastic model for an open dynamical system (quantum receiver) and output multi-channel of observation with an additive nonvacuum quantum noise is given. A quantum stochastic Master equation for the corresponding instrument is…
We develop a practical method of computing the stationary drift velocity V and the diffusion coefficient D of a particle (or a few particles) in a periodic system with arbitrary transition rates. We solve this problem both in a physically…