3 papers
math.PR2026
Fluctuations and Long-Time Stability of Multivariate Ensemble Kalman Filters
Pierre Del Moral, Bouchra Nasri, Bruno Rémillard
We develop a self contained stochastic perturbation theory for discrete generation and multivariate Ensemble Kalman filters. Unlike their continuous-time counterparts, discrete EnK…
math.ST2025
Sequential change-point detection for generalized Ornstein-Uhlenbeck processes
Yunhong Lyu, Bouchra R. Nasri, Bruno N. Rémillard
In this article, we study sequential change-point methods for discretely observed generalized Ornstein-Uhlenbeck processes with periodic drift. Two detection methods are proposed,…
math.PR2025
CLT for martingales-III: discontinuous compensators
Bruno Rémillard, Jean Vaillancourt
We propose a new weak convergence theorem for martingales, under gentler conditions than the usual convergence in probability of the sequence of associated quadratic variations. It…