All Outputs (2)

Càdlàg rough differential equations with reflecting barriers (2021)
Journal Article
Allan, A. L., Liu, C., & Prömel, D. J. (2021). Càdlàg rough differential equations with reflecting barriers. Stochastic Processes and their Applications, 142, 79-104. https://doi.org/10.1016/j.spa.2021.08.004

We investigate rough differential equations with a time-dependent reflecting lower barrier, where both the driving (rough) path and the barrier itself may have jumps. Assuming the driving signals allow for Young integration, we provide existence, uni... Read More about Càdlàg rough differential equations with reflecting barriers.

Robust filtering and propagation of uncertainty in hidden Markov models (2021)
Journal Article
Allan, A. L. (2021). Robust filtering and propagation of uncertainty in hidden Markov models. Electronic Journal of Probability, 26, 1-37. https://doi.org/10.1214/21-ejp633

We consider the filtering of continuous-time finite-state hidden Markov models, where the rate and observation matrices depend on unknown time-dependent parameters, for which no prior or stochastic model is available. We quantify and analyze how the... Read More about Robust filtering and propagation of uncertainty in hidden Markov models.