On hypoellipticity of degenerate operators in testing and detection problems

Erhan Bayraktar; Yuqiong Wang

Home/Archive/arXiv

arXiv · 2510.22150

On hypoellipticity of degenerate operators in testing and detection problems

Erhan Bayraktar·Yuqiong Wang

View original source ↗Read source document ↗Export metadata ↓

Abstract

We study a class of degenerate diffusion generators arising in sequential testing and quickest detection problems with partial information. The observation process is driven by $k$ independent Brownian motions, while the hidden state takes $n+1$ values, with $k<n$. After transforming to posterior likelihood coordinates, we analyze H\"ormander's condition both in the absence of state switching (testing) and in its presence (detection). We characterize hypoellipticity in the testing case and give explicit sufficient conditions in the detection case. We further study the stationary posterior operator, its parabolic extension, the joint observation-posterior operator, and its parabolic extension; their H\"ormander conditions need not coincide. We characterize the relationships among these operators under our main structural regimes and discuss their probabilistic consequences and the regularity of the associated optimal stopping problem.

Explore related subjects

math.ST math.PR stat.TH

Keep this discovery

Explore connections, maps & timelines

BibTeX RIS

Erhan Bayraktar, Yuqiong Wang. 2025-10-25. On hypoellipticity of degenerate operators in testing and detection problems. https://arxiv.org/abs/2510.22150

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

A Scale Invariance Property of PCA

The PCA algorithm is sensitive to changes in measurement scale. Measuring one variable of a system in inches rather than centimeters, say, alters both its principal axes and principal eigenvalues. Although this scale dependence is generally complicated, we show here that it nevertheless obeys a strict invariance property: under a continuous scale adjustment, the initial state's $k$-th largest principal component (ordered by eigenvalue) continuously evolves into the final state's $k$-th largest principal component, for each $k$. In this sense, we can say that the modes of PCA are "order-stable" with respect to changes in measurement scale. A special case occurs when scaling along directions that are orthogonal to some modes. Here, apparent eigenvalue crossings can occur. However, we show that we can interpret these apparent crossings as cases where the modes instantaneously swap their orientation, in this way maintaining the required order stability.

math.ST↗

arXiv2026

Small noise asymptotics for linear parabolic SPDEs in two space dimensions with unknown damping factors

We study parametric estimation for second order linear parabolic stochastic partial differential equations in two space dimensions with a small volatility parameter driven by a $Q$-Wiener process with an unknown damping parameter using high frequency spatio-temporal data. We first provide an estimator for the damping parameter of the $Q$-Wiener process utilizing realized quadratic variations based on spatial and temporal increments. We next propose minimum contrast estimators of the diffusive and advective parameters in the SPDE using a contrast function with the proposed estimator of the damping parameter. We then construct a quasi-maximum likelihood estimator of the reaction parameter in the SPDE using the approximate coordinate process derived from the estimators of the diffusive and advective parameters. We also provide simulation results of the proposed estimators.

math.ST↗

arXiv2026

Spike Estimation from Heteroscedastic Noise via Random Splitting

In this paper, we consider a spiked Wigner type matrix with a heteroscedastic and unknown variance profile. It is well known that in the supercritical regime of the BBP transition, strong spikes can create outliers in the spectrum. Unfortunately, in the heteroscedastic case, in general it is not possible to estimate the spike strength from these observed outlier consistently, as the latter is a solution to a Dyson equation with unknown parameters from the variance profile. In this paper, inspired by the work on sparse matrix completion \citep{BordenaveCosteNadakuditi2023}, we introduce an asymmetrized model by randomly splitting the spiked matrix into two parts, which transforms the noisy Wigner type matrix into a non Hermitian random matrix, while preserving the Hermitian spikes at the cost of a dilution. We establish a BBP type transition for the asymmetrized model, from which we can estimate the strength of the spikes precisely, even without knowing the variance profile of the noise part. We then further apply our approach to study the correlation between two correlated spiked models, where the spike/signal parts of the two models are correlated, and the noise parts are independent but may both be heteroscedastic. By applying our asymmetrization approach to the two models separately and also jointly, we are able to obtain a precise estimate of the correlation between the signal parts of the two models.

math.ST↗