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math.PR2022
To spike or not to spike: the whims of the Wonham filter in the strong noise regime
Cédric Bernardin, Reda Chhaibi, Joseph Najnudel +1
We study the celebrated Shiryaev-Wonham filter (1964) in its historical setup where the hidden Markov jump process has two states. We are interested in the weak noise regime for th…
math.PR2022
Convergence of random holomorphic functions with real zeros and extensions of the stochastic zeta function
Joseph Najnudel, Ashkan Nikeghbali
In this article, we provide a unified framework for studying the convergence of rescaled characteristic polynomials of random matrices from various classical ensembles as well as f…