1,507 research outputs found
The Kalman-Bucy Filter for Integrable Levy Processes with Infinite Second Moment
We extend the Kalman-Bucy filter to the case where both the system
and observation processes are driven by finite dimensional LĀ“evy
processes, but whereas the process driving the system dynamics is
square-integrable, that driving the observations is not; however it
remains integrable. The main result is that the components of the
observation nose that have infinite variance make no contribution to
the filtering equations. The key technique used is approximation by
processes having bounded jumps
Hospitalization, Arrest, or Discharge: Important Legal and Clinical Issues in the Emergency Evaluation of Persons Believed Dangerous to Others
Adaptive multibeam antennas for spacelab. Phase A: Feasibility study
The feasibility was studied of using adaptive multibeam multi-frequency antennas on the spacelab, and to define the experiment configuration and program plan needed for a demonstration to prove the concept. Three applications missions were selected, and requirements were defined for an L band communications experiment, an L band radiometer experiment, and a Ku band communications experiment. Reflector, passive lens, and phased array antenna systems were considered, and the Adaptive Multibeam Phased Array (AMPA) was chosen. Array configuration and beamforming network tradeoffs resulted in a single 3m x 3m L band array with 576 elements for high radiometer beam efficiency. Separate 0.4m x 0.4 m arrays are used to transmit and receive at Ku band with either 576 elements or thinned apertures. Each array has two independently steerable 5 deg beams, which are adaptively controlled
Transition Densities and Traces for Invariant Feller Processes on Compact Symmetric Spaces
We find necessary and sufficient conditions for a finite Kābiāinvariant
measure on a compact Gelfand pair (G, K) to have a squareāintegrable
density. For convolution semigroups, this is equivalent to having a
continuous density in positive time. When (G, K) is a compact Riemannian
symmetric pair, we study the induced transition density for
Gāinvariant Feller processes on the symmetric space X = G/K. These
are obtained as projections of Kābiāinvariant LĀ“evy processes on G,
whose laws form a convolution semigroup. We obtain a Fourier series
expansion for the density, in terms of spherical functions, where the
spectrum is described by Gangolliās LĀ“evyāKhintchine formula. The
density of returns to any given point on X is given by the trace of
the transition semigroup, and for subordinated Brownian motion, we
can calculate the short time asymptotics of this quantity using recent
work of BaĖnuelos and Baudoin. In the case of the sphere, there is an
interesting connection with the FunkāHecke theorem
The fractional Schr\"{o}dinger operator and Toeplitz matrices
Confining a quantum particle in a compact subinterval of the real line with
Dirichlet boundary conditions, we identify the connection of the
one-dimensional fractional Schr\"odinger operator with the truncated Toeplitz
matrices. We determine the asymptotic behaviour of the product of eigenvalues
for the -stable symmetric laws by employing the Szeg\"o's strong limit
theorem. The results of the present work can be applied to a recently proposed
model for a particle hopping on a bounded interval in one dimension whose
hopping probability is given a discrete representation of the fractional
Laplacian.Comment: 10 pages, 2 figure
Anomalous Processes with General Waiting Times: Functionals and Multipoint Structure
Many transport processes in nature exhibit anomalous diffusive properties
with non-trivial scaling of the mean square displacement, e.g., diffusion of
cells or of biomolecules inside the cell nucleus, where typically a crossover
between different scaling regimes appears over time. Here, we investigate a
class of anomalous diffusion processes that is able to capture such complex
dynamics by virtue of a general waiting time distribution. We obtain a complete
characterization of such generalized anomalous processes, including their
functionals and multi-point structure, using a representation in terms of a
normal diffusive process plus a stochastic time change. In particular, we
derive analytical closed form expressions for the two-point correlation
functions, which can be readily compared with experimental data.Comment: Accepted in Phys. Rev. Let
First exit times of solutions of stochastic differential equations driven by multiplicative Levy noise with heavy tails
In this paper we study first exit times from a bounded domain of a gradient
dynamical system perturbed by a small multiplicative
L\'evy noise with heavy tails. A special attention is paid to the way the
multiplicative noise is introduced. In particular we determine the asymptotics
of the first exit time of solutions of It\^o, Stratonovich and Marcus canonical
SDEs.Comment: 19 pages, 2 figure
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