Related papers: Filtered stochastic calculus
Bayesian inference can be embedded into an appropriately defined dynamics in the space of probability measures. In this paper, we take Brownian motion and its associated Fokker--Planck equation as a starting point for such embeddings and…
Functional It\^o calculus was introduced in order to expand a functional $F(t, X\_{\cdot+t}, X\_t)$ depending on time $t$, past and present values of the process $X$. Another possibility to expand $F(t, X\_{\cdot+t}, X\_t)$ consists in…
In the definition of the stochastic integral, apart from the integrand and the integrator, there is an underlying filtration that plays a role. Thus, it is natural to ask: {\it Does the stochastic integral depend upon the filtration?} In…
Recursive Monte Carlo filters, also called particle filters, are a powerful tool to perform computations in general state space models. We discuss and compare the accept--reject version with the more common sampling importance resampling…
A stochastic model for a continuous photon counting and heterodyne measurement of a coherent source is proposed. A nonlinear filtering equation for the posterior state of a single-mode field in a cavity is derived by using the methods of…
This paper introduces several new classes of mathematical structures that have close connections with physics and with the theory of dynamical systems. The most general of these structures, called indivisible stochastic processes,…
A white noise quantum stochastic calculus is developped using classical measure theory as mathematical tool. Wick's and Ito's theorems have been established. The simplest quantum stochastic differential equation has been solved, unicity and…
We consider the theory of stopping bounded processes within the framework of Hudson--Parthasarathy quantum stochastic calculus, for both identity and vacuum adaptedness. This provides significant new insight into Coquio's method of stopping…
By means of quantum stochastic calculus we construct a model for an atom with two degenerate levels and stimulated by a laser and we compute its fluorescence spectrum; let us stress that, once the model for the unitary atom-field dynamics…
A complete Fock space representation of the covariant differential calculus on quantum space is constructed. The consistency criteria for the ensuing algebraic structure, mapping to the canonical fermions and bosons and the consequences of…
A free choice of the integration sense would lead to the paradox that the number of possible equations (thus of solutions for a given model) can vary under a mere change of the variables. This is shown by a specific change which neutralizes…
We derive the quantum filter for a quantum open system undergoing quadrature measurements (homodyning) where the input field is in a general quasi-free state. This extends previous work for thermal input noise and allows for squeezed…
In this note we define and study a Hilbert space-valued stochastic integral of operator-valued functions with respect to Hilbert space-valued measures. We show that this integral generalizes the classical Ito stochastic integral of adapted…
These notes survey some aspects of discrete-time chaotic calculus and its applications, based on the chaos representation property for i.i.d. sequences of random variables. The topics covered include the Clark formula and predictable…
An exact invariant is derived for $n$-degree-of-freedom Hamiltonian systems with general time-dependent potentials. The invariant is worked out in two equivalent ways. In the first approach, we define a special {\it Ansatz\/} for the…
In simulation-based inferences for partially observed Markov process models (POMP), the by-product of the Monte Carlo filtering is an approximation of the log likelihood function. Recently, iterated filtering [14, 13] has originally been…
We present a particle filter construction for a system that exhibits time-scale separation. The separation of time-scales allows two simplifications that we exploit: i) The use of the averaging principle for the dimensional reduction of the…
A notion of stochastic deformation is introduced and the corresponding algebraic deformation procedure is developed. This procedure is analogous to the deformation of an algebra of observables like deformation quantization, but for an…
We derive a functional change of variable formula for {\it non-anticipative} functionals defined on the space of right continuous paths with left limits. The functional is only required to possess certain directional derivatives, which may…
This paper provides an existence-and-uniqueness theorem characterizing the stochastic integral with respect to a Wiener process. The integral is represented as a mapping from the space of measurable and adapted pathwise locally integrable…