Related papers: Rough stochastic filtering
This paper addresses the problem of global well-posedness of a coupled system of Korteweg-de Vries equations, derived by Majda and Biello in the context of nonlinear resonant interaction of Rossby waves, in a periodic setting in homogeneous…
We consider the cubic nonlinear Schr\"odinger equation with a spatially rough potential, a key equation in the mathematical setup for nonlinear Anderson localization. Our study comprises two main parts: new optimal results on the…
In this article, we are interested in the strong well-posedness together with the numerical approximation of some one-dimensional stochastic differential equations with a non-linear drift, in the sense of McKean-Vlasov, driven by a…
In this work I study the well-posedness of the Cauchy problem associated with the coupled Schr\"odinger equations {with quadratic nonlinearities}, which appears modeling problems in nonlinear optics. I obtain the local well-posedness for…
This paper is concerned with the problem of nonlinear filter stability of ergodic Markov processes. The main contribution is the conditional Poincar\'e inequality (PI), which is shown to yield filter stability. The proof is based upon a…
We consider divergence form uniformly parabolic SPDEs with VMO bounded leading coefficients, bounded coefficients in the stochastic part, and possibly growing lower-order coefficients in the deterministic part. We look for solutions which…
Contemporary data assimilation often involves millions of prediction variables. The classical Kalman filter is no longer computationally feasible in such a high dimensional context. This problem can often be resolved by exploiting the…
In this paper, we propose a robust Kalman filtering framework for systems with probabilistic uncertainty in system parameters. We consider two cases, namely discrete time systems, and continuous time systems with discrete measurements. The…
This paper focuses on inverse problems to identify parameters by incorporating information from measurements. These generally ill-posed problems are formulated here in a probabilistic setting based on Bayes's theorem because it leads to a…
Data assimilation methodologies are designed to incorporate noisy observations of a physical system into an underlying model in order to infer the properties of the state of the system. Filters refer to a class of data assimilation…
Stochastic filtering is defined as the estimation of a partially observed dynamical system. A massive scientific and computational effort is dedicated to the development of numerical methods for approximating the solution of the filtering…
Filtering and smoothing with a generalised representation of uncertainty is considered. Here, uncertainty is represented using a class of outer measures. It is shown how this representation of uncertainty can be propagated using…
Motivated by the analysis of the propagation of internal waves in a stratified ocean, we consider in this article the incompressible Euler equations with variable density in a flat strip, and we study the evolution of perturbations of the…
We consider a nonlinear Fokker-Planck equation driven by a deterministic rough path which describes the conditional probability of a McKean-Vlasov diffusion with "common" noise. To study the equation we build a self-contained framework of…
We investigate the obstacle problem for generalized Dean--Kawasaki equations driven by correlated conservative noise, establishing the existence, uniqueness, and $L^1$-stability of stochastic kinetic solutions. Our core strategy combines a…
Since the breakthrough in rough paths theory for stochastic ordinary differential equations (SDEs), there has been a strong interest in investigating the rough differential equation (RDE) approach and its numerous applications. Rough path…
In this paper, we study the ill-posdness of the Cauchy problem for semilinear wave equation with very low regularity, where the nonlinear term depends on $u$ and $\partial_t u$. We prove a ill-posedness result for the "defocusing" case, and…
We show existence and pathwise uniqueness of probabilistically strong solutions to a pseudomonotone stochastic evolution problem on a bounded domain $D\subseteq\mathbb{R}^d$, $d\in\mathbb{N}$, with homogeneous Dirichlet boundary conditions…
We study the Cauchy problem for one-dimensional dispersive system of Boussinesq type which models weakly nonlinear long wave surface waves. We establish the local well-posedness and ill-posedness of solutions to the system. We also provide…
We investigate a class of scalar conservation laws on manifolds driven by multiplicative Gaussian (Ito) noise. The Cauchy problem defined on a Riemannian manifold is shown to be well-posed. We prove existence of generalized kinetic…