3 papers
math.PR2025
Transition probabilities for stochastic differential equations using the Laplace approximation: Analysis of the continuous-time limit
Uffe Høgsbro Thygesen
We recently proposed a method for estimation of states and parameters in stochastic differential equations, which included intermediate time points between observations and used th…
stat.ME2025
Inference in stochastic differential equations using the Laplace approximation: Demonstration and examples
Uffe Høgsbro Thygesen, Kasper Kristensen
Stochastic differential equations are a natural framework for dynamic systems and time series in ecology, because they allow for non-linear first-principle knowledge and uncertaint…
eess.SY2024
Stability analysis of nonlinear stochastic flexibility function in smart energy systems
Seyed Shahabaldin Tohidi, Tobias K. S. Ritschel, Georgios Tsaousoglou +2
Demand-side management provides a great potential for improving the efficiency and reliability of energy systems. This requires a mechanism to connect the market level and the dema…