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math.PR2025
Guided smoothing and control for diffusion processes
Oskar Eklund, Annika Lang, Moritz Schauer
The smoothing distribution is the conditional distribution of the diffusion process in the space of trajectories given noisy observations made continuously in time. It is generally…
math.PR2024
Isotropic Q-fractional Brownian motion on the sphere: regularity and fast simulation
Annika Lang, Björn Müller
As an extension of isotropic Gaussian random fields and Q-Wiener processes on d-dimensional spheres, isotropic Q-fractional Brownian motion is introduced and sample Hölder regulari…