相关论文: Smoothing problem in anticipating scenario

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…

This work introduces the Gaussian integration to address a smoothing problem of a nonlinear stochastic state space model. The probability densities of states at each time instant are assumed to be Gaussian, and their means and covariances…

This paper considers approximate smoothing for discretely observed non-linear stochastic differential equations. The problem is tackled by developing methods for linearising stochastic differential equations with respect to an arbitrary…

The Bayesian smoothing equations are generally intractable for systems described by nonlinear stochastic differential equations and discrete-time measurements. Gaussian approximations are a computationally efficient way to approximate the…

Stochastic integration \textit{wrt} Gaussian processes has raised strong interest in recent years, motivated in particular by its applications in Internet traffic modeling, biomedicine and finance. The aim of this work is to define and…

By departing from the previous attempt (Phys. Rev. {\bf E 51}, 4114, (1995)) we give a detailed construction of conditional and perturbed Markov processes, under the assumption that the Cauchy law of probability replaces the Gaussian law…

We study the filtering and smoothing problem for continuous-time linear Gaussian systems. While classical approaches such as the Kalman-Bucy filter and the Rauch-Tung-Striebel (RTS) smoother provide recursive formulas for the conditional…

This paper presents a method for calculating the smoothed state distribution for Jump Markov Linear Systems. More specifically, the paper details a novel two-filter smoother that provides closed-form expressions for the smoothed hybrid…

We study the existence and uniqueness of solutions to stochastic differential equations with Volterra processes driven by L\'evy noise. For this purpose, we study in detail smoothness properties of these processes. Special attention is…

We present a general probabilistic perspective on Gaussian filtering and smoothing. This allows us to show that common approaches to Gaussian filtering/smoothing can be distinguished solely by their methods of computing/approximating the…

We consider the unconstrained optimization problem whose objective function is composed of a smooth and a non-smooth conponents where the smooth component is the expectation a random function. This type of problem arises in some interesting…

In state space models, smoothing refers to the task of estimating a latent stochastic process given noisy measurements related to the process. We propose an unbiased estimator of smoothing expectations. The lack-of-bias property has…

Smoothing algorithms for state-space models, i.e., fixed-interval smoothing, fixed-lag smoothing, and two-filter formula for smoothing, are examined using real examples. For linear and Gaussian state-space models, it is observed that…

This paper is devoted to filtering, smoothing, and prediction of polynomial processes that are partially observed. These problems are known to allow for an explicit solution in the simpler case of linear Gaussian state space models. The key…

This paper presents a general approach to linear stochastic processes driven by various random noises. Mathematically, such processes are described by linear stochastic differential equations of arbitrary order (the simplest non-trivial…

Time series forecasting is an active research topic in academia as well as industry. Although we see an increasing amount of adoptions of machine learning methods in solving some of those forecasting challenges, statistical methods remain…

We use a rank one Gaussian perturbation to derive a smooth stochastic approximation of the maximum eigenvalue function. We then combine this smoothing result with an optimal smooth stochastic optimization algorithm to produce an efficient…

The purpose of this paper is to review and highlight some connections between the problem of nonlinear smoothing and optimal control of the Liouville equation. The latter has been an active area of recent research interest owing to work in…

Many physical and biological systems rely on the progression of material through multiple independent stages. In viral replication, for example, virions enter a cell to undergo a complex process comprising several disparate stages before…

We study stochastic evolution equations driven by Gaussian noise. The key features of the model are that the operators in the deterministic and stochastic parts can have the same order and the noise can be time-only, space-only, or…