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pro vyhledávání: '"LABART, CÉLINE"'
We study the rate of convergence w.r.t. a Wasserstein type distance for random walk approximation of mean field BSDEs. This article continuous [Briand et al., Donsker-Type Theorem For BSDEs: Rate of Convergence, Bernoulli, 2021], where the rate of co
Externí odkaz:
http://arxiv.org/abs/2409.14212
This paper presents a new filter method for unsupervised feature selection. This method is particularly effective on imbalanced multi-class dataset, as in case of clusters of different anomaly types. Existing methods usually involve the variance of t
Externí odkaz:
http://arxiv.org/abs/2305.19804
In this paper we describe an approach for anomaly detection and its explainability in multivariate functional data. The anomaly detection procedure consists of transforming the series into a vector of features and using an Isolation forest algorithm.
Externí odkaz:
http://arxiv.org/abs/2205.02935
Publikováno v:
Water 2020, Vol. 12(6), p. 1573
The runup of initial Gaussian narrow-banded and wide-banded wave fields and its statistical characteristics are investigated using direct numerical simulations, based on the nonlinear shallow water equations. The bathymetry consists of the section of
Externí odkaz:
http://arxiv.org/abs/2006.12978
In this paper, we study in the Markovian case the rate of convergence in the Wasserstein distance of an approximation of the solution to a BSDE given by a BSDE which is driven by a scaled random walk as introduced in Briand, Delyon and M{\'e}min (Ele
Externí odkaz:
http://arxiv.org/abs/1908.01188
Let (Y, Z) denote the solution to a forward-backward SDE. If one constructs a random walk B n from the underlying Brownian motion B by Skorohod embedding, one can show L 2 convergence of the corresponding solutions (Y n , Z n) to (Y, Z). We estimate
Externí odkaz:
http://arxiv.org/abs/1807.05889
In this paper we consider the random walk approximation of the solution of a Markovian BSDE whose terminal condition is a locally H{\"o}lder continuous function of the Brownian motion. We state the rate of the L 2-convergence of the approximated solu
Externí odkaz:
http://arxiv.org/abs/1806.07674
Publikováno v:
Adv. in Appl. Probab. 52 (2020), no. 2, 523-562
This paper is devoted to the study of reflected Stochastic Differential Equations with jumps when the constraint is not on the paths of the solution but acts on the law of the solution. This type of reflected equations have been introduced recently b
Externí odkaz:
http://arxiv.org/abs/1803.10165
Publikováno v:
Advances in Applied Probability, 2020 Sep 01. 52(3), 735-771.
Externí odkaz:
https://www.jstor.org/stable/48654520
Publikováno v:
The Annals of Applied Probability, 2020 Aug 01. 30(4), 1884-1909.
Externí odkaz:
https://www.jstor.org/stable/26965994