Publications related to Wiener process

Generating Sparse Stochastic Processes Using Matched Splines

Michaël Unser, Leello Tadesse Dadi, Shayan Aziznejad

We provide an algorithm to generate trajectories of sparse stochastic processes that are solutions of linear ordinary differential equations driven by Levy white noises. A recent paper showed that these processes are limits in law of generalized compound-P ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2020

Causal inference in continuous time: an example on prostate cancer therapy

Mats Julius Stensrud, Pal Christie Ryalen

In marginal structural models (MSMs), time is traditionally treated as a discrete parameter. In survival analysis on the other hand, we study processes that develop in continuous time. Therefore, Røysland (2011. A martingale approach to continuous-time mar ...

2020

Exceptional graphs for the random walk

Juhan Aru

If W is the simple random walk on the square lattice Z(2), then W induces a random walk W-G on any spanning subgraph G subset of Z(2) of the lattice as follows: viewing W as a uniformly random infinite word on the alphabet {x, -x, y, -y}, the walk W-G star ...

INST MATHEMATICAL STATISTICS2020

Diffusion LMS With Communication Delays: Stability and Performance Analysis

Ali H. Sayed, Roula Nassif

We study the problem of distributed estimation over adaptive networks where communication delays exist between nodes. In particular, we investigate the diffusion Least-Mean-Square (LMS) strategy where delayed intermediate estimates (due to the communicatio ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2020

Scaling Limits of Solutions of Linear Stochastic Differential Equations Driven by Levy White Noises

Michaël Unser, Julien René Pierre Fageot

Consider a random process s that is a solution of the stochastic differential equation Ls = w with L a homogeneous operator and w a multidimensional Levy white noise. In this paper, we study the asymptotic effect of zooming in or zooming out of the process ...

SPRINGER/PLENUM PUBLISHERS2019

Path properties of the solution to the stochastic heat equation with Levy noise

Robert Dalang, Carsten Hao Ye Chong, Thomas Marie Jean-Baptiste Humeau

We consider sample path properties of the solution to the stochastic heat equation, in Rd or bounded domains of Rd, driven by a Levy space-time white noise. When viewed as a stochastic process in time with values in an infinite-dimensional space, the solut ...

SPRINGER2019

The sources of sovereign risk: a calibration based on Levy stochastic processes

Sylvain Jean Pascal Carré, Daniel Cohen

Governments choose to issue risky or riskless debt depending on the nature of the stochastic process of output. We use Brownian motion and Poisson shocks a modeling method in the literature on corporate default known as Levy processes to approximate a deco ...

ELSEVIER SCIENCE BV2019

Stationary time-vertex signal processing

Nathanaël Perraudin, Andreas Loukas

This paper considers regression tasks involving high-dimensional multivariate processes whose structure is dependent on some known graph topology. We put forth a new definition of time-vertex wide-sense stationarity, or joint stationarity for short, that g ...

2019

The mean-field behavior of processor sharing systems with general job lengths under the SQ(d) policy

Arpan Mukhopadhyay

This paper addresses the mean-field behavior of large-scale systems of parallel servers with a processor sharing service discipline when arrivals are Poisson and jobs have general service time distributions when an SQ(d) routing policy is used. Under this ...

ELSEVIER SCIENCE BV2018

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Wiener process

Generating Sparse Stochastic Processes Using Matched Splines

Causal inference in continuous time: an example on prostate cancer therapy

Exceptional graphs for the random walk

Diffusion LMS With Communication Delays: Stability and Performance Analysis

Scaling Limits of Solutions of Linear Stochastic Differential Equations Driven by Levy White Noises

Path properties of the solution to the stochastic heat equation with Levy noise

The sources of sovereign risk: a calibration based on Levy stochastic processes

Stationary time-vertex signal processing

Rapid measurement and correction of spatiotemporal B-0 field changes using FID navigators and a multi-channel reference image

The mean-field behavior of processor sharing systems with general job lengths under the SQ(d) policy

Graph Chatbot

Chat with Graph Search

Path properties of the solution to the stochastic heat equation with Levy noise

Generating Sparse Stochastic Processes Using Matched Splines

Causal inference in continuous time: an example on prostate cancer therapy

Diffusion LMS With Communication Delays: Stability and Performance Analysis

The sources of sovereign risk: a calibration based on Levy stochastic processes

The mean-field behavior of processor sharing systems with general job lengths under the SQ(d) policy

Scaling Limits of Solutions of Linear Stochastic Differential Equations Driven by Levy White Noises

Stationary time-vertex signal processing

Exceptional graphs for the random walk

Rapid measurement and correction of spatiotemporal B-0 field changes using FID navigators and a multi-channel reference image