Related papers: Filtering of second order generalized stochastic p…

This article is devoted to the stochastic anticipating equations with the extended stochastic integral with respect to the Gaussian processes of a special type. In the particular cases the solutions of such an equations are the well-known…

A parameter estimation problem is considered for a stochastic parabolic equation with multiplicative noise under the assumption that the equation can be reduced to an infinite system of uncoupled diffusion processes. From the point of view…

The solution of the continuous time filtering problem can be represented as a ratio of two expectations of certain functionals of the signal process that are parametrized by the observation path. We introduce a class of discretization…

Using double-smoothing technique and stochastic mirror descent with inexact oracle we built an optimal algorithm (up to a multiplicative factor) for two-points gradient-free non-smooth stochastic convex programming. We investigate how much…

We consider nonlinear filters for diffusion processes when the observation and signal noises are small and of the same order. As the noise intensities approach zero, the nonlinear filter can be approximated by a certain variational problem…

In this paper, we establish existence and uniqueness of strong solutions for a stochastic differential equation driven by an additive noise given by the sum of two correlated fractional Brownian sheets with different Hurst parameters. Our…

Linearization of coupled second order nonlinear ordinary differential equations (SNODEs) is one of the open and challenging problems in the theory of differential equations. In this paper we describe a simple and straightforward method to…

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…

This paper investigates applications of the Tsirelson spectral measures to noise filtering problems within the classical Wiener noise framework. We particularly focus on those among those measures associated to square integrable…

We consider the problem of minimizing a sum of several convex non-smooth functions. We introduce a new algorithm called the selective linearization method, which iteratively linearizes all but one of the functions and employs simple…

Non-stationary blind super-resolution is an extension of the traditional super-resolution problem, which deals with the problem of recovering fine details from coarse measurements. The non-stationary blind super-resolution problem appears…

In this paper, we study the existence of random periodic solutions for nonlinear stochastic differential equations with additive white noise. We extend the input-to-state characteristic operator of the system to the non-autonomous…

This paper introduces two new algorithms to accurately estimate the process noise covariance of a discrete-time Kalman filter online for robust orbit determination in the presence of dynamics model uncertainties. Common orbit determination…

In this article, we propose a new filtering algorithm based in the Koopman operator, showing that a nonlinear filtering problem can be seen as an equivalent problem where the dynamics is infinite dimensional, but linear. Using Extended…

The detailed construction of the general solution of a second order non-homogenous linear operatordifference equation is presented. The wide applicability of such an equation as well as the usefulness of its resolutive formula is shown by…

We consider linear stochastic differential-algebraic equations with constant coefficients and additive white noise. Due to the nature of this class of equations, the solution must be defined as a generalised process (in the sense of Dawson…

We use a probabilistic method to describe the effect of laser noise on the laser-atom interaction, in the case that the atom is a two level system without spontaneous emission. The stochastic differential equation for the laser-atom…

This paper develops a Statics Preserving Sparse Radon transform (SPSR) algorithm.The de-coloration power of Radon basis functions depends on different factors. The most important one is statics. Statics decrease the sparsity of Radon…

Stack filters are a special case of non-linear filters. They have a good performance for filtering images with different types of noise while preserving edges and details. A stack filter decomposes an input image into stacks of binary…

In this work, we consider methods for solving large-scale optimization problems with a possibly nonsmooth objective function. The key idea is to first specify a class of optimization algorithms using a generic iterative scheme involving…