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05/05/2023
Noise calibration for the stochastic rotating shallow water model
Stochastic partial differential equations have been used in a variety of...
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04/30/2023
A Class of Spatial Filtering Problems with Unknown Spatial Observations
We consider a class of high-dimensional spatial filtering problems, wher...
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04/27/2023
Comparison of Stochastic Parametrization Schemes using Data Assimilation on Triad Models
In recent years, stochastic parametrizations have been ubiquitous in mod...
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03/23/2023
Uniform in time convergence of numerical schemes for stochastic differential equations via Strong Exponential stability: Euler methods, Split-Step and Tamed Schemes
We prove a general criterion providing sufficient conditions under which...
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07/15/2022
Theoretical analysis and numerical approximation for the stochastic thermal quasi-geostrophic model
This paper investigates the mathematical properties of a stochastic vers...
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04/15/2022
Space-sequential particle filters for high-dimensional dynamical systems described by stochastic differential equations
We introduce a novel methodology for particle filtering in dynamical sys...
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03/06/2022
Unbiased Estimation using a Class of Diffusion Processes
We study the problem of unbiased estimation of expectations with respect...
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02/06/2022
Asymptotic behavior of the forecast-assimilation process with unstable dynamics
Extensive numerical evidence shows that the assimilation of observations...
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01/10/2022
An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations
The filtering equations govern the evolution of the conditional distribu...
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12/30/2021
Bayesian Inference for Fluid Dynamics: A Case Study for the Stochastic Rotating Shallow Water Model
In this work, we use a tempering-based adaptive particle filter to infer...
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10/02/2021
A Lagged Particle Filter for Stable Filtering of certain High-Dimensional State-Space Models
We consider the problem of high-dimensional filtering of state-space mod...
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04/10/2021
Particle representation for the solution of the filtering problem. Application to the error expansion of filtering discretizations
We introduce a weighted particle representation for the solution of the ...
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01/27/2021
Log-Normalization Constant Estimation using the Ensemble Kalman-Bucy Filter with Application to High-Dimensional Models
In this article we consider the estimation of the log-normalization cons...
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01/11/2021
Pathwise approximations for the solution of the non-linear filtering problem
We consider high order approximations of the solution of the stochastic ...
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08/18/2020
Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
We consider the problem of parameter estimation for a class of continuou...
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10/01/2019
Data assimilation for a quasi-geostrophic model with circulation-preserving stochastic transport noise
This paper contains the latest installment of the authors' project on de...
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07/27/2019
A Particle Filter for Stochastic Advection by Lie Transport (SALT): A case study for the damped and forced incompressible 2D Euler equation
In this work, we apply a particle filter with three additional procedure...
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11/23/2018
Parallel sequential Monte Carlo for stochastic optimization
We propose a parallel sequential Monte Carlo optimization method to mini...
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09/02/2018