Results 71 to 80 of about 21,651 (169)

Efficient Deconvolution in Populational Inverse Problems

International Journal for Numerical Methods in Engineering, Volume 127, Issue 9, 15 May 2026.
ABSTRACT This work is focused on the inversion task of inferring the distribution over parameters of interest, leading to multiple sets of observations. The potential to solve such distributional inversion problems is driven by the increasing availability of data, but a major roadblock is blind deconvolution, arising when the observational noise ...
Arnaud Vadeboncoeur, Mark Girolami, Andrew M. Stuart   +2 more
wiley   +1 more source

Comparative Analysis of the Performances of a Nonlinear Observer and Nonlinear Kalman Filters in the Presence of Non‐Gaussian Disturbances

International Journal of Robust and Nonlinear Control, Volume 36, Issue 7, Page 3896-3913, 10 May 2026.
ABSTRACT This paper focuses on state estimation for a fairly general class of systems, involving nonlinear functions and disturbances in both the process dynamics and output equations. A nonlinear observer that satisfies a H∞$$ {\boldsymbol{H}}_{\boldsymbol{\infty}} $$ disturbance attenuation constraint in addition to providing asymptotic stability in ...
Hamidreza Movahedi, Ali Zemouche, Rajesh Rajamani   +2 more
wiley   +1 more source

Gradual Changes in Functional Time Series

Journal of Time Series Analysis, Volume 47, Issue 3, Page 632-650, May 2026.
ABSTRACT We consider the problem of detecting gradual changes in the sequence of mean functions from a not necessarily stationary functional time series. Our approach is based on the maximum deviation (calculated over a given time interval) between a benchmark function and the mean functions at different time points.
Patrick Bastian, Holger Dette
wiley   +1 more source

Change Point Analysis for Functional Data Using Empirical Characteristic Functionals

Journal of Time Series Analysis, Volume 47, Issue 3, Page 612-631, May 2026.
ABSTRACT We develop a new method to detect change points in the distribution of functional data based on integrated CUSUM processes of empirical characteristic functionals. Asymptotic results are presented under conditions allowing for low‐order moments and serial dependence in the data establishing the limiting null‐distribution of the proposed test ...
Lajos Horváth, Gregory Rice, Jeremy VanderDoes   +2 more
wiley   +1 more source

A stochastic heat equation with non-locally Lipschitz coefficients

We consider the stochastic heat equation (SHE) on the torus $\mathbb{T}=[0,1]$, driven by space-time white noise $\dot W$, with an initial condition $u_0$ that is nonnegative and not identically zero: \begin{equation*} \frac{\partial u}{\partial t} = \tfrac{1}{2}\frac{\partial^2 u}{\partial x^2} + b(u) + σ(u)\dot{W}.
Chen, Le, Huang, Jingyu, Tao, Wenxuan
openaire   +2 more sources

BSVIEs with stochastic Lipschitz coefficients and applications in finance

, 2010
This paper is concerned with existence and uniqueness of M-solutions of backward stochastic Volterra integral equations (BSVIEs for short), which Lipschitz coefficients are allowed to be random, which generalize the results in [15]. Then a class of continuous time dynamic dynamic coherent risk measures is derived, allowing the riskless interest rate to
openaire   +2 more sources

Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients

Stochastic Processes and their Applications, 1995
The author considers the following backward stochastic differential equation \[ x(t) = \int^1_tf \bigl( s,x(s), y(s) \bigr) ds + \int^1_t \biggl[ g \bigl( s,x (s) \bigr) + y( s) \biggr] dw(s) = X \tag{*} \] on \(0 \leq t \leq 1\). Here \(w(t)\) in a \(q\)-dimensional Brownian motion and \(y(t)\) is an adapted control process.
openaire   +2 more sources

Local Lipschitz continuity in the initial value and strong completeness for nonlinear stochastic differential equations

Recently, Hairer et. al (2012) showed that there exist SDEs with infinitely often differentiable and globally bounded coefficient functions whose solutions fail to be locally Lipschitz continuous in the strong L^p-sense with respect to the initial value ...
Cox, Sonja, Hutzenthaler, Martin, Jentzen, Arnulf   +2 more
core  

Multidimensional backward doubly stochastic differential equations with integral non-Lipschitz coefficients

The Journal of Nonlinear Sciences and Applications, 2017
Summary: The paper is devoted to solve multidimensional backward doubly stochastic differential equations under integral non-Lipschitz conditions in general spaces. By stochastic analysis and constructing approximation sequence, a new set of sufficient conditions for multidimensional backward doubly stochastic differential equations is obtained.
openaire   +3 more sources

A note on reflected BSDEs in infinite horizon with stochastic Lipschitz coefficients

Stochastic Analysis and Applications
We consider an infinite horizon, obliquely reflected backward stochastic differential equation (RBSDE). The main contribution of the present work is that we generalize previous results on infinite horizon reflected BSDEs to the setting where the driver has a stochastic Lipschitz coefficient.
openaire   +3 more sources