1,721,978 research outputs found
The zakai equation of nonlinear filtering for jump-diffusion observations: Existence and uniqueness
No full textIn this paper we study a nonlinear filtering problem for a general Markovian partially observed system (X,Y), whose dynamics is modeled by correlated jump-diffusions having common jump times. At any time ta[0,T], the sigma-algebra provides all the available information about the signal X (t) . The central goal of stochastic filtering is to characterize the filter, pi (t) , which is the conditional distribution of X (t) , given the observed data . In Ceci and Colaneri (Adv. Appl. Probab. 44(3):678-701, 2012) it is proved that pi is the unique probability measure-valued process satisfying a nonlinear stochastic equation, the so-called Kushner-Stratonovich equation (in short KS equation). In this paper the aim is to improve the hypotheses to obtain the KS equation and describe the filter pi in terms of the unnormalized filter I +/-, which is solution of a linear stochastic differential equation, the so-called Zakai equation. We prove the equivalence between strong uniqueness of the solution of the KS equation and strong uniqueness of the solution of the Zakai one and, as a consequence, we deduce pathwise uniqueness of the solution of the Zakai equation by applying the Filtered Martingale Problem approach (Kurtz and Ocone in Ann. Probab. 16:80-107, 1988; Ceci and Colaneri in Adv. Appl. Probab. 44(3):678-701, 2012). To conclude, we discuss some particular models
Management of plastic bronchitis with nebulized tissue plasminogen activator: another brick in the wall.
Full text linkPlastic bronchitis is a rare complication of a variety of respiratory diseases and congenital heart disease surgery, particularly Fontan procedure. Bronchial casts with rubber-like consistency develop acutely and may cause severe life-threatening respiratory distress. The management of plastic bronchitis is yet not well defined. Early intermittent, self-administered nebulization of tissue plasminogen activator was found to be effective in preventing deterioration of acute respiratory symptoms in a patient with primary ciliary dyskinesia and recurrent cast formation. Further investigation into new therapeutic strategies for this devastating disease is advocated. © 2014 Colaneri et al.; licensee BioMed Central Ltd
Musées-Promenades
No full textColaneri Françoise. Musées-Promenades. In: Publics et Musées, n°1, 1992. Textes et public dans les musées (sous la direction de Hana Gottesdiener) p. 152
Descentralización de tributos: sus implicancias en el sistema tributario
Full text linkFil: Colaneri, Horacio A.. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Buenos Aires, Argentina
CAD tools for control design in linear periodic discrete-time systems subject to input constraints
No full textB9
Recent Advances in Nonlinear Filtering with a Financial Application to Derivatives Hedging under Incomplete Information
No full textIn this chapter, we present some recent results about nonlinear filtering for jump diffusion signal and observation driven by correlated Brownian motions having common jump times. We provide the Kushner-Stratonovich and the Zakai equation for the normalized and the unnormalized filter, respectively. Moreover, we give conditions under which pathwise uniqueness for the solutions of both equations holds. Finally, we study an application of nonlinear filtering to the financial problem of derivatives hedging in an incomplete market with partial observation. Precisely, we consider the risk-minimizing hedging approach. In this framework, we compute the optimal hedging strategy for an informed investor and a partially informed one and compare the total expected squared costs of the strategies
Realization from covariances and Markov parameters of a discrete-time periodic system
No full textThe main contribution of this paper is an algorithm to find a minimal stable state-space realization of a linear discrete-time periodic system from a finite window of (normalized) covariances and Markov parameters. This contribution to the stochastic realization problem for periodic systems can be used for the identification of cyclostationary processes
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