Zobrazeno 1 - 10
of 208
pro vyhledávání: '"Mijatovic, Aleksandar"'
We study the second-order asymptotics around the superdiffusive strong law~\cite{MMW} of a multidimensional driftless diffusion with oblique reflection from the boundary in a generalised parabolic domain. In the unbounded direction we prove the limit
Externí odkaz:
http://arxiv.org/abs/2412.14267
We develop two novel couplings between general pure-jump L\'evy processes in $\R^d$ and apply them to obtain upper bounds on the rate of convergence in an appropriate Wasserstein distance on the path space for a wide class of L\'evy processes attract
Externí odkaz:
http://arxiv.org/abs/2411.03609
Stochastic gradient descent is a classic algorithm that has gained great popularity especially in the last decades as the most common approach for training models in machine learning. While the algorithm has been well-studied when stochastic gradient
Externí odkaz:
http://arxiv.org/abs/2410.16340
Autor:
Brešar, Miha, Mijatović, Aleksandar
Denoising diffusion probabilistic models (DDPMs) represent a recent advance in generative modelling that has delivered state-of-the-art results across many domains of applications. Despite their success, a rigorous theoretical understanding of the er
Externí odkaz:
http://arxiv.org/abs/2408.13799
In this paper we consider the modeling of measurement error for fund returns data. In particular, given access to a time-series of discretely observed log-returns and the associated maximum over the observation period, we develop a stochastic model w
Externí odkaz:
http://arxiv.org/abs/2408.07405
Autor:
Brešar, Miha, Mijatović, Aleksandar
We provide a criterion for establishing lower bounds on the rate of convergence in $f$-variation of a continuous-time ergodic Markov process to its invariant measure. The criterion consists of novel super- and submartingale conditions for certain fun
Externí odkaz:
http://arxiv.org/abs/2403.14826
For a Markov chain $Y$ with values in a Polish space, consider the entrance chain obtained by sampling $Y$ at the moments when it enters a fixed set $A$ from its complement $A^c$. Similarly, consider the exit chain, obtained by sampling $Y$ at the ex
Externí odkaz:
http://arxiv.org/abs/2403.00619
We prove anomalous-diffusion scaling for a one-dimensional stochastic kinetic dynamics, in which the stochastic drift is driven by an exogenous Bessel noise, and also includes endogenous volatility which is permitted to have arbitrary dependence with
Externí odkaz:
http://arxiv.org/abs/2401.11863
This paper provides an exact simulation algorithm for the sampling from the joint law of the first-passage time, the undershoot and the overshoot of a subordinator crossing a non-increasing boundary. We prove that the running time of this algorithm h
Externí odkaz:
http://arxiv.org/abs/2306.06927