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1997
Kouritzin, Michael, Dawson, Donald
A general Hilbert-space-based stochastic averaging theory is brought forth herein for arbitrary-order parabolic equations with (possibly long range dependent) random coefficients. We use regularity conditions onView the MathML sourcewhich are slightly stronger than those required to prove...
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2008
In this paper, we give a direct derivation of the Duncan–Mortensen–Zakai filtering equation, without assuming right continuity of the signal, nor its filtration, and without the usual finite energy condition. As a consequence, the Fujisaki–Kallianpur–Kunita equation is also derived. Our results...
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1997
Herein, an averaging theory for the solutions to Cauchy initial value problems of arbitrary order,ε-dependent parabolic partial differential equations is developed. Indeed, by directly developing bounds between the derivatives of the fundamental solution to such an equation and derivatives of the...
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2014
Kouritzin, Michael, Ren, Y.-X.
Let ℓ be Lebesgue measure and X=(Xt,t≥0;Pμ) be a supercritical, super-stable process corresponding to the operator −(−Δ)α/2u+βu−ηu2 on Rd with constants β,η>0 and α∈(0,2]. Put View the MathML source, which for each smallθ is an a.s. convergent complex-valued martingale with limit View the MathML...
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2008
Kouritzin, Michael, Newton, Fraser, Orsten, Sterling, Wilson, Daniel
Classification of data as true or fabricated has applications in fraud detection and verification of data samples. In this paper, we apply nonlinear filtering to a simplified fraud-detection problem: classifying coin flip sequences as either real or faked. On the way, we propose a method for...
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2005
Kouritzin, Michael, Kim, H., Hu, Y., Ballantyne, D.
This paper addresses the problem of detecting and tracking an unknown number of submarines in a body of water using a known number of moving sonobuoys. Indeed, we suppose there are N submarines collectively maneuvering as a weakly interacting stochastic dynamical system, where N is a random...
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2004
McCrosky, Jesse, Kouritzin, Michael, Blount, Douglas
A hybrid weighted/interacting particle filter, the selectively resampling particle (SERP) filter, is used to detect and track an unknown number of independent targets on a one-dimensional \"racetrack\" domain. The targets evolve in a nonlinear manner. The observations model a sensor positioned...
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2002
In the context of simulating the transport of a chemical or bacterial contaminant through a moving sheet of water, we extend a well-established method of approximating reaction-diffusion equations with Markov chains by allowing convection, certain Poisson measure driving sources and a larger...
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2004
Kouritzin, Michael, Long, H., Sun, W.
Herein, we consider direct Markov chain approximations to the Duncan–Mortensen–Zakai equations for nonlinear filtering problems on regular, bounded domains. For clarity of presentation, we restrict our attention to reflecting diffusion signals with symmetrizable generators. Our Markov chains are...