Publications related to Infinitesimal generator (stochastic processes)

The Analog Formulation of Sparsity Implies Infinite Divisibility and Rules Out Bernoulli-Gaussian Priors

Michaël Unser, Azin Amini, Ulugbek Kamilov

Motivated by the analog nature of real-world signals, we investigate continuous-time random processes. For this purpose, we consider the stochastic processes that can be whitened by linear transformations and we show that the distribution of their samples ...

IEEE2012

Stochastic Control and Free Boundary Problems for Sailboat Trajectory Optimization

Laura Vinckenbosch

The topic of this thesis is the study of several stochastic control problems motivated by sailing races. The goal is to minimize the travel time between two locations, by selecting the fastest route in face of randomly changing weather conditions, such as ...

EPFL2012

Mmse Denoising Of Sparse Levy Processes Via Message Passing

Michaël Unser, Arash Amini, Ulugbek Kamilov

Many recent algorithms for sparse signal recovery can be interpreted as maximum-a-posteriori (MAP) estimators relying on some specific priors. From this Bayesian perspective, state-of-the-art methods based on discrete-gradient regularizers, such as total-v ...

Ieee2012

FORWARD BROWNIAN MOTION

We consider processes which have the distribution of standard Brownian motion (in the forward direction of time) starting from random points on the trajectory which accumulate at -∞ 1. We show that these processes do not have to have the distribution of st ...

2012

MATHICSE Technical Report : Moment equations for the mixed formulation of the Hodge Laplacian with stochastic data

Fabio Nobile, Annalisa Buffa, Francesca Bonizzoni

We study the mixed formulation of the stochastic Hodge-Laplace problem defined on a n-dimensional domain D (

n \geq 1

), with random forcing term. In particular, we focus on the magnetostatic problem and on the Darcy problem in the three dimensional case. ...

MATHICSE2012

Macroscopic stability for nonfinite range kernels

Thomas Mountford

We extend the strong macroscopic stability introduced in Bramson and Mountford [Ann. Probab. 30 (2002) 1082-1130] for one-dimensional asymmetric exclusion processes with finite range to a large class of one-dimensional conservative attractive models (inclu ...

2010

The Stationary Behaviour of Fluid Limits of Reversible Processes is Concentrated on Stationary Points

Jean-Yves Le Boudec

Assume that a stochastic processes can be approximated, when some scale parameter gets large, by a fluid limit (also called mean field limit", or hydrodynamic limit"). A common practice, often called the ``fixed point approximation" consists in approxi ...

arxiv.org2010

Stochastic dynamics of cholera epidemics

Andrea Rinaldo, Enrico Bertuzzo, Amos Maritan

We describe the predictions of an analytically tractable stochastic model for cholera epidemics following a single initial outbreak. The exact model relies on a set of assumptions that may restrict the generality of the approach and yet provides a realm of ...

American Physical Society2010

An optimal prediction problem in financial modelling

Violetta Bernyk

The subject of the present thesis is an optimal prediction problem concerning the ultimate maximum of a stable Lévy process over a finite interval of time. Such "optimal prediction" problems are of both theoretical and practical interest, in particular the ...

EPFL2007

A stochastic process for the interannual snow storage and melting dynamics

Paolo Perona

A continuous time process of alternating stochastic growths and deterministic decays is proposed as a simple model for the interannual dynamics of snow water equivalent (SWE) storage and melting. The related stationary properties are studied, and an integr ...

American Geophysical Union2007

Infinitesimal generator (stochastic processes)

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The Analog Formulation of Sparsity Implies Infinite Divisibility and Rules Out Bernoulli-Gaussian Priors

Stochastic Control and Free Boundary Problems for Sailboat Trajectory Optimization

Mmse Denoising Of Sparse Levy Processes Via Message Passing

FORWARD BROWNIAN MOTION

MATHICSE Technical Report : Moment equations for the mixed formulation of the Hodge Laplacian with stochastic data

Macroscopic stability for nonfinite range kernels

The Stationary Behaviour of Fluid Limits of Reversible Processes is Concentrated on Stationary Points

Stochastic dynamics of cholera epidemics

An optimal prediction problem in financial modelling

A stochastic process for the interannual snow storage and melting dynamics

Stochastic Control and Free Boundary Problems for Sailboat Trajectory Optimization

FORWARD BROWNIAN MOTION

Mmse Denoising Of Sparse Levy Processes Via Message Passing

The Analog Formulation of Sparsity Implies Infinite Divisibility and Rules Out Bernoulli-Gaussian Priors

An optimal prediction problem in financial modelling

Macroscopic stability for nonfinite range kernels

Stochastic dynamics of cholera epidemics

A stochastic process for the interannual snow storage and melting dynamics

MATHICSE Technical Report : Moment equations for the mixed formulation of the Hodge Laplacian with stochastic data

The Stationary Behaviour of Fluid Limits of Reversible Processes is Concentrated on Stationary Points