Search results for "stokastiset prosessit"

Permutation invariant functionals of Lévy processes

2017

Environmentally‐induced noise dampens and reddens with increasing trophic level in a complex food web

2019

Stochastic variability of key abiotic factors including temperature, precipitation and the availability of light and nutrients greatly influences species’ ecological function and evolutionary fate. Despite such influence, ecologists have typically ignored the effect of abiotic stochasticity on the structure and dynamics of ecological networks. Here we help to fill that gap by advancing the theory of how abiotic stochasticity, in the form of environmental noise, affects the population dynamics of species within food webs. We do this by analysing an allometric trophic network model of Lake Constance subjected to positive (red), negative (blue), and non‐autocorrelated (white) abiotic temporal …

Coupled conditional backward sampling particle filter

2020

The conditional particle filter (CPF) is a promising algorithm for general hidden Markov model smoothing. Empirical evidence suggests that the variant of CPF with backward sampling (CBPF) performs well even with long time series. Previous theoretical results have not been able to demonstrate the improvement brought by backward sampling, whereas we provide rates showing that CBPF can remain effective with a fixed number of particles independent of the time horizon. Our result is based on analysis of a new coupling of two CBPFs, the coupled conditional backward sampling particle filter (CCBPF). We show that CCBPF has good stability properties in the sense that with fixed number of particles, …

Uncertainty quantification on a spatial Markov-chain model for the progression of skin cancer

2019

AbstractA spatial Markov-chain model is formulated for the progression of skin cancer. The model is based on the division of the computational domain into nodal points, that can be in a binary state: either in ‘cancer state’ or in ‘non-cancer state’. The model assigns probabilities for the non-reversible transition from ‘non-cancer’ state to the ‘cancer state’ that depend on the states of the neighbouring nodes. The likelihood of transition further depends on the life burden intensity of the UV-rays that the skin is exposed to. The probabilistic nature of the process and the uncertainty in the input data is assessed by the use of Monte Carlo simulations. A good fit between experiments on mi…

On fractional smoothness and approximations of stochastic integrals

2009

Space of signatures as inverse limits of Carnot groups

2021

We formalize the notion of limit of an inverse system of metric spaces with 1-Lipschitz projections having unbounded fibers. The construction is applied to the sequence of free Carnot groups of fixed rank n and increasing step. In this case, the limit space is in correspondence with the space of signatures of rectifiable paths in ℝn, as introduced by Chen. Hambly-Lyons’s result on the uniqueness of signature implies that this space is a geodesic metric tree. As a particular consequence we deduce that every path in ℝn can be approximated by projections of some geodesics in some Carnot group of rank n, giving an evidence that the complexity of sub-Riemannian geodesics increases with the step.…

Chlorophyll Concentration Retrieval by Training Convolutional Neural Network for Stochastic Model of Leaf Optical Properties (SLOP) Inversion

2020

Miniaturized hyperspectral imaging techniques have developed rapidly in recent years and have become widely available for different applications. Combining calibrated hyperspectral imagery with inverse physically based reflectance models is an interesting approach for estimating chlorophyll concentrations that are good indicators of vegetation health. The objective of this study was to develop a novel approach for retrieving chlorophyll a and b values from remotely sensed data by inverting the stochastic model of leaf optical properties using a one-dimensional convolutional neural network. The inversion results and retrieved values are validated in two ways: A classical machine learning val…

Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting

2018

We show existence of a unique solution and a comparison theorem for a one-dimensional backward stochastic differential equation with jumps that emerge from a L\'evy process. The considered generators obey a time-dependent extended monotonicity condition in the y-variable and have linear time-dependent growth. Within this setting, the results generalize those of Royer (2006), Yin and Mao (2008) and, in the $L^2$-case with linear growth, those of Kruse and Popier (2016). Moreover, we introduce an approximation technique: Given a BSDE driven by Brownian motion and Poisson random measure, we consider BSDEs where the Poisson random measure admits only jumps of size larger than $1/n$. We show con…

On resampling schemes for particle filters with weakly informative observations

2022

We consider particle filters with weakly informative observations (or `potentials') relative to the latent state dynamics. The particular focus of this work is on particle filters to approximate time-discretisations of continuous-time Feynman--Kac path integral models -- a scenario that naturally arises when addressing filtering and smoothing problems in continuous time -- but our findings are indicative about weakly informative settings beyond this context too. We study the performance of different resampling schemes, such as systematic resampling, SSP (Srinivasan sampling process) and stratified resampling, as the time-discretisation becomes finer and also identify their continuous-time l…

Unbiased Estimators and Multilevel Monte Carlo

2018

Multilevel Monte Carlo (MLMC) and unbiased estimators recently proposed by McLeish (Monte Carlo Methods Appl., 2011) and Rhee and Glynn (Oper. Res., 2015) are closely related. This connection is elaborated by presenting a new general class of unbiased estimators, which admits previous debiasing schemes as special cases. New lower variance estimators are proposed, which are stratified versions of earlier unbiased schemes. Under general conditions, essentially when MLMC admits the canonical square root Monte Carlo error rate, the proposed new schemes are shown to be asymptotically as efficient as MLMC, both in terms of variance and cost. The experiments demonstrate that the variance reduction…