Publications related to On the Besov regularity of periodic Levy noises

Fourier Analysis of Functional Time Series, with Applications to DNA Dynamics

This work is about time series of functional data (functional time series), and consists of three main parts. In the first part (Chapter 2), we develop a doubly spectral decomposition for functional time series that generalizes the Karhunen–Loève expansion ...

EPFL2014

A Unified Formulation of Gaussian Versus Sparse Stochastic Processes-Part II: Discrete-Domain Theory

Michaël Unser, Arash Amini, Pouya Dehghani Tafti, Hagay Kirshner

This paper is devoted to the characterization of an extended family of continuous-time autoregressive moving average (CARMA) processes that are solutions of stochastic differential equations driven by white Levy innovations. These are completely specified ...

Ieee-Inst Electrical Electronics Engineers Inc2014

On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks

Fabio Nobile

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

Thumbnail galleries for procedural models

Mark Pauly, Pablo Federico Mueller, Boris Neubert, Stefan Lienhard

Procedural modeling allows for the generation of innumerable variations of models from a parameterized, conditional or stochastic rule set. Due to the abstractness, complexity and stochastic nature of rule sets, it is often very difficult to have an unders ...

Wiley-Blackwell2014

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

Operator-Like Wavelet Bases of L-2(R-d)

Michaël Unser, John Paul Ward, Ildar Khalidov

The connection between derivative operators and wavelets is well known. Here we generalize the concept by constructing multiresolution approximations and wavelet basis functions that act like Fourier multiplier operators. This construction follows from a s ...

Springer Birkhauser2013

Operator-Like Wavelet Bases of $ L _{ 2 } $ $ (\mathbb{R} ^{ d } $ )

Michaël Unser, John Paul Ward, Ildar Khalidov

The connection between derivative operators and wavelets is well known. Here we generalize the concept by constructing multiresolution approximations and wavelet basis functions that act like Fourier multiplier operators. This construction follows from a s ...

Springer US2013

Time scale analysis of bedload discharge over steep slopes: from intermittency to white noise.

Christophe Ancey, Joris Heyman, François Mettra, Hongbo Ma

Bedload transport remains largely unpredictable in steep slope rivers. Comparing experimental data obtained in a steep slope flume and a stochastic model, we show that bedload discharge statistics strongly depend on the measurement time and spatial scale. ...

2013

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

Affine Variance Swap Curve Models

Damir Filipovic

This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor models. We propose a novel drift parametrization which assures that the components of the state process can be matched with any pre-specified ...

2012

On the Besov regularity of periodic Levy noises

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Fourier Analysis of Functional Time Series, with Applications to DNA Dynamics

A Unified Formulation of Gaussian Versus Sparse Stochastic Processes-Part II: Discrete-Domain Theory

On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks

Thumbnail galleries for procedural models

STOCHASTIC PROCESSES AND CONSTRUCTION OF BROWNIAN MOTION

Operator-Like Wavelet Bases of L-2(R-d)

Operator-Like Wavelet Bases of $ L _{ 2 } $ $ (\mathbb{R} ^{ d } $ )

Time scale analysis of bedload discharge over steep slopes: from intermittency to white noise.

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

Affine Variance Swap Curve Models

Operator-Like Wavelet Bases of L-2(R-d)

Thumbnail galleries for procedural models

Operator-Like Wavelet Bases of $ L _{ 2 } $ $ (\mathbb{R} ^{ d } $ )

Time scale analysis of bedload discharge over steep slopes: from intermittency to white noise.

On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks

A Unified Formulation of Gaussian Versus Sparse Stochastic Processes-Part II: Discrete-Domain Theory

Affine Variance Swap Curve Models

Fourier Analysis of Functional Time Series, with Applications to DNA Dynamics

STOCHASTIC PROCESSES AND CONSTRUCTION OF BROWNIAN MOTION

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