Concept

Continuous stochastic process

Related publications (17)

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Dynamical low rank approximation for uncertainty quantification of time-dependent problems

Eva Vidlicková

The quantification of uncertainties can be particularly challenging for problems requiring long-time integration as the structure of the random solution might considerably change over time. In this respect, dynamical low-rank approximation (DLRA) is very a ...

EPFL2022

A Continuized View on Nesterov Acceleration

Nicolas Henri Bernard Flammarion, Raphaël Jean Berthier

We introduce the "continuized" Nesterov acceleration, a close variant of Nesterov acceleration whose variables are indexed by a continuous time parameter. The two variables continuously mix following a linear ordinary differential equation and take gradien ...

2021

Functional Peaks-Over-Threshold Analysis for Complex Extreme Events

Most current risk assessment for complex extreme events relies on catalogues of similar events, either historical or generated artificially. In the latter, no existing methods produce completely new events with mathematically justified extrapolation above ...

EPFL2018

We introduce a general distributional framework that results in a unifying description and characterization of a rich variety of continuous-time stochastic processes. The cornerstone of our approach is an innovation model that is driven by some generalized ...

Ieee-Inst Electrical Electronics Engineers Inc2014

In the framework of stochastic processes, the connection between the dynamic programming scheme given by the Hamilton-Jacobi-Bellman equation and a recently proposed control approach based on the Fokker-Planck equation is discussed. Under appropriate assum ...

2014

STOCHASTIC PROCESSES AND CONSTRUCTION OF BROWNIAN MOTION

Christophe-Aschkan Mery

This project offers a rigorous introduction to the tools needed to construct a continuous stochastic process. Among other things, we give a very detailed proof of the Kolmogorov continuity criterion. We then construct a Brownian Motion following the formal ...

EPFL2013

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

Jean-Yves Le Boudec

Assume that a stochastic process 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 approxima ...

2013

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

Michaël Unser, Arash 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

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

Michaël Unser, Azin Amini, Ulugbek Kamilov

IEEE2012

Limit Behaviour of the Voter Model, Exclusion Process and Regenerative Chains

Samuel Schöpfer

Though the following topics seem unlinked, most of the tools used in this thesis are related to random walks and renewal theory. After introducing the voter model, we consider the parabolic Anderson model with the voter model as catalyst. In GÄRTNER, DEN H ...

EPFL2012