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Existence of Invariant Manifolds for Stochastic Equations in Infinite Dimension

Publications associées (34)

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A Trajectory-based Calibration Method for Stochastic Motion Models

Alcherio Martinoli, Massimo Mastrangeli, Grégory Mermoud, Ezequiel Leonardo Di Mario

In this paper, we present a quantitative, trajectory-based method for calibrating stochastic motion models of water-floating robots. Our calibration method is based on the Correlated Random Walk (CRW) model, and consists in minimizing the Kolmogorov-Smirno ...

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2011

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

Fast Adaptive Uniformization for the Chemical Master Equation

Maria-Emanuela-Canini Mateescu, Verena Wolf

Within systems biology there is an increasing interest in the stochastic behavior of biochemical reaction networks. An appropriate stochastic description is provided by the chemical master equation, which represents a continuous-time Markov chain (CTMC). S ...

Ieee Computer Soc Press, Customer Service Center, Po Box 3014, 10662 Los Vaqueros Circle, Los Alamitos, Ca 90720-1264 Usa2009

A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

Anders Trolle

We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analyti ...

Oxford University Press2009

Efficient RCS estimation of 2-dimensional cylinder with random holes

Jan Sickmann Hesthaven, Shuai Liu

In this paper, we propose an efficient method to estimate the radar cross section (RCS) mean and variance of a 2-D cylinder with random holes. This model has been applied extensively in microwave engineering, e.g., frequency selective surface (FSS). Firstl ...

2009

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

On the Geometry of the Term Structure of Interest Rates

Damir Filipovic

We present recently developed geometric methods for the analysis of finite dimensional term structure models of the interest rates. This includes an extension of the Frobenius theorem for Fr´echet spaces in particular. This approach puts new light on many ...

2004

Regularity of Finite-Dimensional Realizations for Evolution Equations

Damir Filipovic

We show that a continuous local semiflow of Ck-maps on a finite- dimensional Ck-manifoldM can be embedded into a local Ck-flow on M under some weak (necessary) assumptions. This result is applied to an open problem in [2]. We prove that finite-dimensional ...

2003

Towards A More Rigorous Boresight Determination: Theory, Technology and Realities of Inertial/GPS Sensor Orientation

Jan Skaloud

This work focuses on the stochastic properties of boresight determination between a strapdown IMU and a frame-based imaging sensor. The core of the stochastic model is a rigorous error propagation of the estimated input accuracies and their correlations. ...

2003

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics 1760)

Damir Filipovic

Research monograph providing appropriate consistency conditions for and examples of blended models for the term structure of interest rates within the Health-Jarrow-Morton framework, combining curve-fitting methods and factor models. Softcover. ...

Springer2001