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Related publications (21)

Gaussian versus Sparse Stochastic Processes : Construction, Regularity, Compressibility

Although our work lies in the field of random processes, this thesis was originally motivated by signal processing applications, mainly the stochastic modeling of sparse signals. We develop a mathematical study of the innovation model, under which a signal ...

EPFL2017

A Multi Level Monte Carlo Method with Control Variate for elliptic PDEs with log-normal coefficients

Fabio Nobile, Francesco Tesei

We consider the numerical approximation of the stochastic Darcy problem with log-normal permeability field and propose a novel Multi Level Monte Carlo (MLMC) approach with a control variate variance reduction technique on each level. We model the log-perme ...

2015

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Gaussian versus Sparse Stochastic Processes : Construction, Regularity, Compressibility

Julien René Pierre Fageot

EPFL2017

Bayesian uncertainty management in temporal dependence of extremes

Anthony Christopher Davison, Thomas Lugrin, Jonathan A. Tawn

Both marginal and dependence features must be described when modelling the extremes of a stationary time series. There are standard approaches to marginal modelling, but long-and short-range dependence of extremes may both appear. In applications, an assum ...

Springer Verlag2016

Max-stable processes and stationary systems of Levy particles

Sebastian Engelke

We study stationary max-stable processes {n(t): t is an element of R} admitting a representation of the form n(t) = max(i is an element of N) (U-i +Y-i(t)), where Sigma(infinity)(i=1) delta U-i is a Poisson point process on R with intensity e(-u)du, and Y1 ...

Elsevier2015

A Multi Level Monte Carlo Method with Control Variate for elliptic PDEs with log-normal coefficients

Fabio Nobile, Francesco Tesei

2015

Queue Profile Estimation in Congested Urban Networks with Probe Data

Nikolaos Geroliminis, Mohsen Ramezani Ghalenoei

Queues at signalized intersections are the main cause of traffic delays and travel time variability in urban networks. In this article, we propose a method to estimate queue profiles that are traffic shockwave polygons in the time-space plane describing th ...

2015

Invariant manifolds with boundary for jump-diffusions

Damir Filipovic

We provide necessary and sufficient conditions for stochastic invariance of finite dimensional submanifolds with boundary in Hilbert spaces for stochastic partial differential equations driven by Wiener processes and Poisson random measures. ...

Univ Washington, Dept Mathematics2014

Stochastic dynamics of snow avalanche occurrence by superposition of Poisson processes

Paolo Perona, Benoît Crouzy

We study the dynamics of systems with deterministic trajectories randomly forced by instantaneous discontinuous jumps occurring according to two different compound Poisson processes. One process, with constant frequency, causes instantaneous positive rando ...

Royal Soc2012

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

Bayesian Denoising Of Generalized Poisson Processes With Finite Rate Of Innovation

Michaël Unser, Arash Amini, Ulugbek Kamilov

We investigate the problem of the optimal reconstruction of a generalized Poisson process from its noisy samples. The process is known to have a finite rate of innovation since it is generated by a random stream of Diracs with a finite average number of im ...

Ieee2012

The Contact Process : Competition Models and Boolean Networks

Daniel Rodrigues Valesin

This work is a study of three interacting particle systems that are modified versions of the contact process. The contact process is a spin system defined on a graph and is commonly taken as a model for the spread of an infection in a population; transmiss ...

EPFL2011

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