We address the consensus-based distributed linear filtering problem, where a discrete time, linear stochastic process is observed by a network of sensors. We assume that the consen...
Hawkes processes are used for modeling tick-by-tick variations of a single or of a pair of asset prices. For each asset, two counting processes (with stochastic intensities) are a...
Emmanuel Bacry, Sylvain Delattre, Marc Hoffmann, J...
We consider impulsive systems with several reset maps triggered by independent renewal processes, i.e., the intervals between jumps associated with a given reset map are identicall...
In this paper we consider the long run average continuous control problem of piecewise-deterministic Markov processes (PDP's for short). The control variable acts on the jump ...
We present an approximate inference approach to parameter estimation in a spatio-temporal stochastic process of the reaction-diffusion type. The continuous space limit of an infer...