4 papers
Expectation-Maximization algorithm to estimate the forcing parameter of a nonlinear McKean-Vlasov diffusion
Eduardo Gutierrez-Turner, Kerlyns Martinez, Hector Olivero
In this article, we address the problem of estimating a forcing parameter in a stochastic differential equation inspired by a model that describes instantaneous turbulent kinetic e…
Error analysis for learning fractional stochastic differential equations with applications in neural approximations
Mahdi Dehshiri, Kerlyns Martinez, Lauri Viitasaari
This paper develops a framework for the error analysis in nonparametric model fitting of fractional stochastic differential equations based on discrete observations. We identify an…
Age-structured stochastic populations under dynamic harvesters' behavior: well-posedness, asymptotic stability and numerically-amenable approximations
M. Isidora Ãvila-Thieme, Kerlyns MartÃnez, Héctor Olivero +2
In this paper we study a model of age-structured ecological populations in continuous interaction with a community of harvesters. We propose an individual-based model for this feed…
Weak rough kernel comparison via PPDEs for integrated Volterra processes
Mireille Bossy, Kerlyns Martinez, Paul Maurer
Motivated by applications in physics (e.g., turbulence intermittency) and financial mathematics (e.g., rough volatility), this paper examines a family of integrated stochastic Volt…