# Sparse stochastic processes identification and sampling

Discrete sample representation of sparse continuous stochastic processes

November 22, 2018 — October 29, 2018

calculus

dynamical systems

geometry

Hilbert space

how do science

Lévy processes

physics

sciml

SDEs

signal processing

statistics

statmech

stochastic processes

time series

uncertainty

Sampling and estimation theory for SDEs driven by Lévy noise. which produces a nice inference theory and gives us a machinery for producing prior for Bayesian sensing problems where the signal is known to be non-Gaussian. I have not got much to say about this yet. In particular I should say what “sparse” implies in this context. 🏗

Related maybe, signatures of rough paths.

## 1 References

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