Online Sequential Monte Carlo smoother for partially observed stochastic differential equations

This paper introduces a new algorithm to approximate smoothed additive functionals for partially observed stochastic differential equations. This method relies on a recent procedure which allows to compute such approximations online, i.e. as the observations are received, and with a computational complexity growing linearly with the number of Monte Carlo samples. This online smoother cannot be used directly in the case of partially observed stochastic differential equations since the transition density of the latent data is usually unknown. We prove that a similar algorithm may still be defined for partially observed continuous processes by replacing this unknown quantity by an unbiased estimator obtained for instance using general Poisson estimators. We prove that this estimator is consistent and its performance are illustrated using data from two models

Lyapunov functionals for boundary-driven nonlinear drift-diffusions

We exhibit a large class of Lyapunov functionals for nonlinear drift-diffusion equations with non-homogeneous Dirichlet boundary conditions. These are generalizations of large deviation functionals for underlying stochastic many-particle systems, the zero range process and the Ginzburg-Landau dynamics, which we describe briefly. As an application, we prove linear inequalities between such an entropy-like functional and its entropy production functional for the boundary-driven porous medium equation in a bounded domain with positive Dirichlet conditions: this implies exponential rates of relaxation related to the first Dirichlet eigenvalue of the domain. We also derive Lyapunov functions for systems of nonlinear diffusion equations, and for nonlinear Markov processes with non-reversible stationary measures

On the Γ\Gamma-limit for a non-uniformly bounded sequence of two phase metric functionals

In this study we consider the $\Gamma$-limit of a highly oscillatory Riemannian metric length functional as its period tends to 0. The metric coefficient takes values in either $\{1,\infty\}$ or $\{1,\beta \varepsilon^{-p}\}$ where $\beta,\varepsilon > 0$ and $p \in (0,\infty)$. We find that for a large class of metrics, in particular those metrics whose surface of discontinuity forms a differentiable manifold, the $\Gamma$-limit exists, as in the uniformly bounded case. However, when one attempts to determine the $\Gamma$-limit for the corresponding boundary value problem, the existence of the $\Gamma$-limit depends on the value of $p$. Specifically, we show that the power $p=1$ is critical in that the $\Gamma$-limit exists for $p < 1$, whereas it ceases to exist for $p \geq 1$. The results here have applications in both nonlinear optics and the effective description of a Hamiltonian particle in a discontinuous potential.Comment: 31 pages, 1 figure. Submitte