Stochastic evolution equations for nonlinear filtering of random fields in the presence of fractional Brownian sheet observation noise

The problem of nonlinear filtering of a random field observed in the presence of a noise, modeled by a persistent fractional Brownian sheet of Hurst index $(H_1,H_2)$ with $0.5<H_1,H_2<1$, is studied and a suitable version of the Bayes' formula for the optimal filter is obtained. Two types of spatial "fractional" analogues of the Duncan-Mortensen-Zakai equation are also derived: one tracks evolution of the unnormalized optimal filter along an arbitrary "monotone increasing" (in the sense of partial ordering in $\mathbb{R}^2$) one-dimensional curve in the plane, while the other describes dynamics of the filter along the paths that are truly two-dimensional. Although the paper deals with the two-dimensional parameter space, the presented approach and results extend to $d$-parameter random fields with arbitrary $d\geq 3$.Comment: 24 page

Mini-Workshop: Levy Processes and Related Topics in Modelling

The focus of the meeting was on recent ongoing research and new ideas in the area of infinite divisibility and Lévy processes, with particular view to realistic modelling. As regards more applied aspects, work in mathematical finance, especially concerning modelling and measurement of volatility, figured prominently

The History of the Quantitative Methods in Finance Conference Series. 1992-2007

This report charts the history of the Quantitative Methods in Finance (QMF) conference from its beginning in 1993 to the 15th conference in 2007. It lists alphabetically the 1037 speakers who presented at all 15 conferences and the titles of their papers.

Fractional Generalizations of Zakai Equation and Some Solution Methods

The paper discusses fractional generalizations of Zakai equations arising in filtering problems. The derivation of the fractional Zakai equation, existence and uniqueness of its solution, as well as some methods of solution to the fractional filtering problem, including fractional version of the particle flow method, are presented

Recovering edges in ill-posed inverse problems: optimality of curvelet frames

We consider a model problem of recovering a function $f(x_1,x_2)$ from noisy Radon data. The function $f$ to be recovered is assumed smooth apart from a discontinuity along a $C^2$ curve, that is, an edge. We use the continuum white-noise model, with noise level $\varepsilon$. Traditional linear methods for solving such inverse problems behave poorly in the presence of edges. Qualitatively, the reconstructions are blurred near the edges; quantitatively, they give in our model mean squared errors (MSEs) that tend to zero with noise level $\varepsilon$ only as $O(\varepsilon^{1/2})$ as $\varepsilon\to 0$. A recent innovation--nonlinear shrinkage in the wavelet domain--visually improves edge sharpness and improves MSE convergence to $O(\varepsilon^{2/3})$. However, as we show here, this rate is not optimal. In fact, essentially optimal performance is obtained by deploying the recently-introduced tight frames of curvelets in this setting. Curvelets are smooth, highly anisotropic elements ideally suited for detecting and synthesizing curved edges. To deploy them in the Radon setting, we construct a curvelet-based biorthogonal decomposition of the Radon operator and build "curvelet shrinkage" estimators based on thresholding of the noisy curvelet coefficients. In effect, the estimator detects edges at certain locations and orientations in the Radon domain and automatically synthesizes edges at corresponding locations and directions in the original domain. We prove that the curvelet shrinkage can be tuned so that the estimator will attain, within logarithmic factors, the MSE $O(\varepsilon^{4/5})$ as noise level $\varepsilon\to 0$. This rate of convergence holds uniformly over a class of functions which are $C^2$ except for discontinuities along $C^2$ curves, and (except for log terms) is the minimax rate for that class. Our approach is an instance of a general strategy which should apply in other inverse problems; we sketch a deconvolution example

Physics, Astrophysics and Cosmology with Gravitational Waves

Gravitational wave detectors are already operating at interesting sensitivity levels, and they have an upgrade path that should result in secure detections by 2014. We review the physics of gravitational waves, how they interact with detectors (bars and interferometers), and how these detectors operate. We study the most likely sources of gravitational waves and review the data analysis methods that are used to extract their signals from detector noise. Then we consider the consequences of gravitational wave detections and observations for physics, astrophysics, and cosmology.Comment: 137 pages, 16 figures, Published version <http://www.livingreviews.org/lrr-2009-2

Chance, long tails, and inference: a non-Gaussian, Bayesian theory of vocal learning in songbirds

Traditional theories of sensorimotor learning posit that animals use sensory error signals to find the optimal motor command in the face of Gaussian sensory and motor noise. However, most such theories cannot explain common behavioral observations, for example that smaller sensory errors are more readily corrected than larger errors and that large abrupt (but not gradually introduced) errors lead to weak learning. Here we propose a new theory of sensorimotor learning that explains these observations. The theory posits that the animal learns an entire probability distribution of motor commands rather than trying to arrive at a single optimal command, and that learning arises via Bayesian inference when new sensory information becomes available. We test this theory using data from a songbird, the Bengalese finch, that is adapting the pitch (fundamental frequency) of its song following perturbations of auditory feedback using miniature headphones. We observe the distribution of the sung pitches to have long, non-Gaussian tails, which, within our theory, explains the observed dynamics of learning. Further, the theory makes surprising predictions about the dynamics of the shape of the pitch distribution, which we confirm experimentally