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09/26/2022
Neural variance reduction for stochastic differential equations
Variance reduction techniques are of crucial importance for the efficien...
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05/10/2022
Consensus based optimization via jump-diffusion stochastic differential equations
We introduce a new consensus based optimization (CBO) method where inter...
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05/21/2021
Option Valuation through Deep Learning of Transition Probability Density
Transition probability densities are fundamental to option pricing. Adva...
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06/28/2020
Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
A simple-to-implement weak-sense numerical method to approximate reflect...
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01/15/2020
