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KERNEL DENSITY ESTIMATION VIA DIFFUSION

The Annals of statistics, 2010-10, Vol.38 (5), p.2916-2957

2010

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A STOCHASTIC CONTROL APPROACH TO NO-ARBITRAGE BOUNDS GIVEN MARGINALS, WITH AN APPLICATION TO LOOKBACK OPTIONS

The Annals of applied probability, 2014-02, Vol.24 (1), p.312-336

2014

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Optimal approximation of SDEs on submanifolds: the Itô‐vector and Itô‐jet projections

Proceedings of the London Mathematical Society, 2019-07, Vol.119 (1), p.176-213

2019

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Clustering, coding, and the concept of similarity

Annals of mathematics and artificial intelligence, 2024-03

McCarty, L. Thorne

2024

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Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary

Monte Carlo methods and applications, 2024-03, Vol.30 (1), p.31-41

2024

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Testing for Jumps in a Discretely Observed Process

The Annals of statistics, 2009-02, Vol.37 (1), p.184-222

2009

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A Bakry-Émery Approach to Lipschitz Transportation on Manifolds

Potential analysis, 2024-04

López-Rivera, Pablo

2024

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Irreversible Langevin samplers and variance reduction: a large deviations approach

Nonlinearity, 2015-07, Vol.28 (7), p.2081-2103

2015

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The most probable transition paths of stochastic dynamical systems: a sufficient and necessary characterisation

Nonlinearity, 2024-01, Vol.37 (1), p.15010

2024

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Steady-State Analysis of the Join-the-Shortest-Queue Model in the Halfin–Whitt Regime

Mathematics of operations research, 2020-08, Vol.45 (3), p.1069-1103

Braverman, Anton

2020

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A simple proof of the Poincaré inequality for a large class of probability measures including the log-concave case

Electronic communications in probability, 2008-01, Vol.13, p.60-66

2008

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Robustness of Stochastic Optimal Control to Approximate Diffusion Models Under Several Cost Evaluation Criteria

Mathematics of operations research, 2023-10

2023

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Liouville theorems and elliptic gradient estimates for a nonlinear parabolic equation involving the Witten Laplacian

Advances in calculus of variations, 2023-04, Vol.16 (2), p.425-441

Taheri, Ali

2023

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Weak semiconvexity estimates for Schrödinger potentials and logarithmic Sobolev inequality for Schrödinger bridges

Probability theory and related fields, 2024-08, Vol.189 (3-4), p.1045-1071

Conforti, Giovanni

2024

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Stability of sampling proposals for reducible diffusions over large time intervals

Communications in statistics. Theory and methods, 2022-09, Vol.51 (18), p.6166-6181

Suda, David

2022

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A sequence of remarkable Poincaré inequalities for Dunkl operators

Integral transforms and special functions, 2019-02, Vol.30 (2), p.157-165

2019

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Macroscopic limit of a Fokker-Planck model of swarming rigid bodies

European journal of applied mathematics, 2024-04, p.1-49

2024

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Stochastic Criterion for k-Motion of a Regular Surface of Nonzero Mean and Sign-Constant Gaussian Curvatures in Three-Dimensional Euclidean Space

Journal of mathematical sciences (New York, N.Y.), 2022-05, Vol.263 (3), p.359-364

Klimentov, D. S.

2022

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Stationary measures for stochastic differential equations with degenerate damping

Probability theory and related fields, 2024-06, Vol.189 (1-2), p.101-178

2024

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Decomposing Dynamic Risks into Risk Components

Management science, 2020-12, Vol.66 (12), p.5738-5756

2020

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Quickest Detection Problems for Ornstein–Uhlenbeck Processes

Mathematics of operations research, 2024-05, Vol.49 (2), p.1045-1064

2024

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First-passage problems for diffusion processes with state-dependent jumps

Communications in statistics. Theory and methods, 2022-03, Vol.51 (9), p.2908-2918

Lefebvre, Mario

2022

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Curvature conditions, Liouville-type theorems and Harnack inequalities for a nonlinear parabolic equation on smooth metric measure spaces

Advanced nonlinear studies, 2024-07, Vol.24 (3), p.553-591

2024

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W-entropy and Langevin deformation on Wasserstein space over Riemannian manifolds

Probability theory and related fields, 2024-04, Vol.188 (3-4), p.911-955

2024

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Quasi-Invariance for Infinite-Dimensional Kolmogorov Diffusions

Potential analysis, 2024-02, Vol.60 (2), p.807-831

2024

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KERNEL DENSITY ESTIMATION VIA DIFFUSION

A STOCHASTIC CONTROL APPROACH TO NO-ARBITRAGE BOUNDS GIVEN MARGINALS, WITH AN APPLICATION TO LOOKBACK OPTIONS

Optimal approximation of SDEs on submanifolds: the Itô‐vector and Itô‐jet projections

Clustering, coding, and the concept of similarity

Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary

Testing for Jumps in a Discretely Observed Process

A Bakry-Émery Approach to Lipschitz Transportation on Manifolds

Irreversible Langevin samplers and variance reduction: a large deviations approach

The most probable transition paths of stochastic dynamical systems: a sufficient and necessary characterisation

Steady-State Analysis of the Join-the-Shortest-Queue Model in the Halfin–Whitt Regime

A simple proof of the Poincaré inequality for a large class of probability measures including the log-concave case

Robustness of Stochastic Optimal Control to Approximate Diffusion Models Under Several Cost Evaluation Criteria

Liouville theorems and elliptic gradient estimates for a nonlinear parabolic equation involving the Witten Laplacian

Weak semiconvexity estimates for Schrödinger potentials and logarithmic Sobolev inequality for Schrödinger bridges

Stability of sampling proposals for reducible diffusions over large time intervals

A sequence of remarkable Poincaré inequalities for Dunkl operators

Macroscopic limit of a Fokker-Planck model of swarming rigid bodies

Stochastic Criterion for k-Motion of a Regular Surface of Nonzero Mean and Sign-Constant Gaussian Curvatures in Three-Dimensional Euclidean Space

Stationary measures for stochastic differential equations with degenerate damping

Decomposing Dynamic Risks into Risk Components

Quickest Detection Problems for Ornstein–Uhlenbeck Processes

First-passage problems for diffusion processes with state-dependent jumps

Curvature conditions, Liouville-type theorems and Harnack inequalities for a nonlinear parabolic equation on smooth metric measure spaces

W-entropy and Langevin deformation on Wasserstein space over Riemannian manifolds

Quasi-Invariance for Infinite-Dimensional Kolmogorov Diffusions

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