Related papers: Smoothing problem in anticipating scenario
Stochastic inverse problems considered in this article consist of estimating the probability distributions of intrinsically random inputs of computer models. These estimations are based on observable outputs affected by model noise, and…
In this paper, the problem of state estimation, in the context of both filtering and smoothing, for nonlinear state-space models is considered. Due to the nonlinear nature of the models, the state estimation problem is generally intractable…
This chapter presents specific aspects of Gaussian process modeling in the presence of complex noise. Starting from the standard homoscedastic model, various generalizations from the literature are presented: input varying noise variance,…
Within the framework of stochastic Schroedinger equations, we show that the correspondence between statevector equations and ensemble equations is infinitely many to one, and we discuss the consequences. We also generalize the results of…
This work is concerned with existence and uniqueness of solutions to the reflection problem for linear parabolic equation with multiplicative Gaussian noise.
We consider stochastic differential equations of the form $dY_t=V(Y_t)\,dX_t+V_0(Y_t)\,dt$ driven by a multi-dimensional Gaussian process. Under the assumption that the vector fields $V_0$ and $V=(V_1,\ldots,V_d)$ satisfy H\"{o}rmander's…
We propose a principled algorithm for robust Bayesian filtering and smoothing in nonlinear stochastic dynamic systems when both the transition function and the measurement function are described by non-parametric Gaussian process (GP)…
In this paper we address smoothing-that is, optimisation-based-estimation techniques for localisation problems in the case where motion sensors are very accurate. Our mathematical analysis focuses on the difficult limit case where motion…
This work is concerned with existence of weak solutions to discon- tinuous stochastic differential equations driven by multiplicative Gaus- sian noise and sliding mode control dynamics generated by stochastic differential equations with…
The analysis of fluctuation-dissipation relations developed in Giona et al. (2024) for particle hydromechanics is extended to stochastic forcings alternative to Wiener processes, with the aim of addressing the occurrence of Gaussian…
We consider Bayesian inverse problems arising in data assimilation for dynamical systems governed by partial and stochastic partial differential equations. The space-time dependent field is inferred jointly with static parameters of the…
In this paper, we consider a stochastic model of incompressible second grade fluids on a bounded domain of R^2 driven by linear multiplicative Brownian noise with anticipating initial conditions. The existence and uniqueness of the…
We consider a class of linear Vlasov partial differential equations driven by Wiener noise. Different types of stochastic perturbations are treated: additive noise, multiplicative It\^o and Stratonovich noise, and transport noise. We…
This letter is concerned with solving continuous-discrete Gaussian smoothing problems by using the Taylor moment expansion (TME) scheme. In the proposed smoothing method, we apply the TME method to approximate the transition density of the…
In this paper, we present a new smoothing approach to solve general nonlinear complementarity problems. Under the $P_0$ condition on the original problems, we prove some existence and convergence results . We also present an error estimate…
Recently, a novel method for developing filtering algorithms, based on the parallel concatenation of Bayesian filters and called turbo filtering, has been proposed. In this manuscript we show how the same conceptual approach can be…
The smoothing spline is one of the most popular curve-fitting methods, partly because of empirical evidence supporting its effectiveness and partly because of its elegant mathematical formulation. However, there are two obstacles that…
We introduce the local martingale problem associated to semilinear stochastic evolution equations driven by a cylindrical Wiener process and establish a one-to-one correspondence between solutions of the martingale problem and…
We aim to solve a structured convex optimization problem, where a nonsmooth function is composed with a linear operator. When opting for full splitting schemes, usually, primal-dual type methods are employed as they are effective and also…
We consider a multidimensional SDE with a Gaussian noise and a drift vector being a vector function of bounded variation. We prove the existence of generalized derivative of the solution with respect to the initial conditions and represent…