Related papers: An Accurate Discretized Approach to Parameter Esti…

This paper focuses on the numerical scheme for multiple-delay stochastic differential equations with partially H\"older continuous drifts and locally H\"older continuous diffusion coefficients. To handle with the superlinear terms in…

We propose a new splitting method for strong numerical solution of the Cox-Ingersoll-Ross model. For this method, applied over both deterministic and adaptive random meshes, we prove a uniform moment bound and strong error results of order…

Autoregressive Markov switching (ARMS) time series models are used to represent real-world signals whose dynamics may change over time. They have found application in many areas of the natural and social sciences, as well as in engineering.…

The rigorous stability analysis of high-order implicit-explicit multistep (IEMS) methods for nonlinear parabolic equations by using discrete energy arguments is a long standing open issue due to their non-A-stable property. A novel…

Nonparametric mixture models based on the Pitman-Yor process represent a flexible tool for density estimation and clustering. Natural generalization of the popular class of Dirichlet process mixture models, they allow for more robust…

We address high dimensional covariance estimation for elliptical distributed samples, which are also known as spherically invariant random vectors (SIRV) or compound-Gaussian processes. Specifically we consider shrinkage methods that are…

Consider the following stochastic differential equation (SDE) $$dX_t = b(t,X_{t-}) \, dt+ dL_t, \quad X_0 = x,$$ driven by a $d$-dimensional L\'evy process $(L_t)_{t \geq 0}$. We establish conditions on the L\'evy process and the drift…

This paper addresses the issue of predicting separated flows with Reynolds-averaged Navier-Stokes (RANS) turbulence models, which are essential for many engineering tasks. Traditional RANS models usually struggle with this task, so recent…

Although the governing equations of many systems, when derived from first principles, may be viewed as known, it is often too expensive to numerically simulate all the interactions they describe. Therefore researchers often seek simpler…

Stochastic reduced-order models are widely used to represent the effective dynamics of complex systems, but estimating their drift and diffusion coefficients from data remains challenging. Standard approaches often rely on short-time…

This paper introduces a randomized tamed Euler scheme tailored for L\'evy-driven stochastic differential equations (SDEs) with superlinear random coefficients and Carath\'eodory-type drift. Under assumptions that allow for time-irregular…

In many statistical signal processing applications, the estimation of nuisance parameters and parameters of interest is strongly linked to the resulting performance. Generally, these applications deal with complex data. This paper focuses…

The reduced-rank regression model is a popular model to deal with multivariate response and multiple predictors, and is widely used in biology, chemometrics, econometrics, engineering, and other fields. In the reduced-rank regression…

Within the context of recursive least squares (RLS) parameter estimation, the goal of the present paper is to study the effect of regularization-induced bias on the transient and asymptotic accuracy of the parameter estimates. We consider…

The asymptotic analysis of a generic stochastic optimization algorithm mainly relies on the establishment of a specific descent condition. While the convexity assumption allows for technical shortcuts and generally leads to strict…

We study strong approximation of $d$-dimensional stochastic differential equations (SDEs) with a discontinuous drift coefficient. More precisely, we essentially assume that the drift coefficient is piecewise Lipschitz continuous with an…

State of the art Symbolic Regression (SR) methods currently build specialized models, while the application of Large Language Models (LLMs) remains largely unexplored. In this work, we introduce the first comprehensive framework that…

We present strongly convergent explicit and semi-implicit adaptive numerical schemes for systems of stiff stochastic differential equations (SDEs) where both the drift and diffusion are non-globally Lipschitz continuous. This stiffness may…

It's well-known that in a traditional discrete-time autonomous linear systems, the eigenvalues of the weigth (system) matrix solely determine the stability of the system. If the spectral radius of the system matrix is larger than 1, then…

Analysis and synthesis of safety-critical autonomous systems are carried out using models which are often dynamic. Two central features of these dynamic systems are parameters and unmodeled dynamics. This paper addresses the use of a…