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03/19/2022
Convergence Error Analysis of Reflected Gradient Langevin Dynamics for Globally Optimizing Non-Convex Constrained Problems
Non-convex optimization problems have various important applications, wh...
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02/23/2022
Iterative weak approximation and hard bounds for switching diffusion
We establish a novel convergent iteration framework for a weak approxima...
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05/27/2021
Weak approximation for stochastic differential equations with jumps by iteration and hard bounds
We establish a novel theoretical framework in which weak approximation c...
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03/02/2021
A general approach to sample path generation of infinitely divisible processes via shot noise representation
We establish a sample path generation scheme in a unified manner for gen...
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01/26/2021
Numerical aspects of shot noise representation of infinitely divisible laws and related processes
The ever-growing appearance of infinitely divisible laws and related pro...
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01/22/2021
