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1995
Suppose {εk, −∞ < k < ∞} is an independent, not necessarily identically distributed sequence of random variables, and {cj}∞j=0, {dj}∞j=0 are sequences of real numbers such that Σjc2j < ∞, Σjd2j < ∞. Then, under appropriate moment conditions on {εk, −∞ < k < ∞}, View the MathML source, View the...
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1994
Heunis, A. J., Kouritzin, Michael
In this note we consider the almost sure convergence (as ϵ→0) of solution Xϵ(·), defined over the interval 0 ≤ τ ≤ 1, of the random ordinary differential equation View the MathML source Here {F(x, t, ω), t ≥ 0} is a strong mixing process for each x and (x, t) → F(x, t, ω) is subject to regularity...
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2013-11-22
We address the missing analog of vague convergence in the weak-converge large-deviations analogy. Specifically, we introduce the weak Laplace principle and show it implies both the well-known weak LDP and the Laplace principle lower bound. Both the weak LDP and weak Laplace principle hold in...
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2002
Kim, Surrey, Kouritzin, Michael, Ballantyne, David
Particle-based nonlinear filters have proven to be effective and versatile methods for computing approximations to difficult filtering problems. We introduce a novel hybrid particle method, thought to possess an excellent compromise between the unadaptive nature of the weighted particle methods...