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A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

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6121723 · Jul 202619922001200920182026
48 results for Euler discretisation

New bounds for sampling algorithms without log-concavity assumptions.

problem Sampling high-dimensional probability measures without log-concavity assumptions.
method Euler discretisation of SDEs with novel convergence rates and coupling construction.
result Explicit L2L^2 convergence rates and non-asymptotic bounds for sampling algorithms.

Study approximates weak error for specific stochastic models with rough and Gaussian mean-reverting volatility.

problem Approximating weak error for specific stochastic models with rough and Gaussian mean-reverting volatility.
method Used Euler type scheme with integrated kernels to study weak convergence rate.
result Obtained weak convergence rate of min(3α1,1)\min(3α-1,1) for discretised rough Ornstein-Uhlenbeck process and stochastic rough volatility model.

New method accelerates Bayesian imaging using Langevin sampling.

problem Bayesian inference in imaging inverse problems with convex geometry.
method Stochastic relaxed proximal-point iteration targeting posterior distribution.
result Accelerated convergence for κκ-strongly log-concave targets.

In this paper we discuss the possibility of using multilevel Monte Carlo (MLMC) methods for weak approximation schemes. It turns out that by means of a simple coupling between consecutive time discretisation levels, one can achieve the same complexity gain as under the presence of a strong convergence. We exemplify thi…

2014-06-10abs ↗pdf ↗

Study simulates Heston-type local stochastic volatility model using particle method.

problem Simulate calibrated Heston-type local stochastic volatility model with non-standard coefficients.
method Monte Carlo particle method, Euler-Maruyama scheme, full truncation Euler scheme.
result Strong convergence of Euler-Maruyama scheme with rate 1/2 in time, up to a logarithmic factor.

Study uses BNs to predict cryptocurrency prices, improving accuracy with discretisation.

problem Predicting price movements in volatile cryptocurrency markets.
method Discretisation-aware Bayesian Networks with three methods and multiple bin counts.
result Equal interval with two bins provides best predictive performance.

Parameter inference for stochastic differential equations is challenging due to the presence of a latent diffusion process. Working with an Euler-Maruyama discretisation for the diffusion, we use variational inference to jointly learn the parameters and the diffusion paths. We use a standard mean-field variational appr…

2018-02-09abs ↗pdf ↗

A new discretisation of a doubled, i.e. BF, version of the pure abelian Chern-Simons theory is presented. It reproduces the continuum expressions for the topological quantities of interest in the theory, namely the partition function and correlation function of Wilson loops. Similarities with free spinor field theory a…

1997-04-21abs ↗pdf ↗

This paper conditions non-linear infinite-dimensional diffusion processes.

problem Conditioning non-linear and infinite-dimensional diffusion processes.
method Infinite-dimensional Girsanov's theorem to condition function-valued stochastic processes.
result Conditioning of non-linear infinite-dimensional diffusion processes is achieved.

A new neural approach for generating origin-destination matrices in ABMs.

problem Challenges in generating origin-destination matrices for ABMs, including discretisation errors and inability to explore multimodal distributions.
method A computationally efficient framework that learns trip intensity through a neural differential equation, operating directly on the discrete combinatorial space.
result Outperforms prior art in terms of reconstruction error and ground truth matrix coverage, at a fraction of the computational cost.

Investigates gradient descent dynamics and introduces new regularisation methods.

problem Understanding and mitigating gradient descent instabilities and interactions with smoothness regularisation.
method Derives continuous-time flows to account for discretisation drift, constructs learning rate schedules and regularisers.
result New regularisation methods improve performance in reinforcement learning.

Quantum algorithm reduces CVA risk-neutral expectation estimation costs.

problem Reducing Monte Carlo sampling cost for CVA on real quantum hardware.
method Noise-aware quantum workflow combining market calibration, discretisation, and oracle construction.
result CABIQAE achieves lower classical post-processing runtime and more effective error exploitation.

The paper reformulates U-Nets as wavelet-based models and applies this to hierarchical VAEs.

problem Theoretical understanding and regularization properties of U-Nets and their relationship to wavelets.
method Formulating a multi-resolution framework to identify U-Nets as finite-dimensional truncations of infinite-dimensional models, proving average pooling corresponds to projection, and identifying HVAEs as discretizations of multi-resolution diffusion processes.
result HVAEs learn a time representation allowing for improved parameter efficiency through weight-sharing.

SGLDiff approximates Bayesian posterior distributions with subsampling error.

problem Approximating Bayesian posterior distributions in large-scale data settings.
method Stochastic Gradient Langevin Diffusion (SGLDiff) with subsampling.
result The Wasserstein distance between the posterior and SGLDiff's limiting distribution is bounded by a fractional power of the mean waiting time.

We establish numerical methods for solving the martingale optimal transport problem (MOT) - a version of the classical optimal transport with an additional martingale constraint on transport's dynamics. We prove that the MOT value can be approximated using linear programming (LP) problems which result from a discretisa…

2017-10-22abs ↗pdf ↗

Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger [2012] for twice continuously differentiable deterministic functions of a multivariate martingale. They are initially characterised as solutions to a second-order system of PDEs, then those pay-…

2016-01-31abs ↗pdf ↗

Systems of partial differential equations lie at the heart of physics. Despite this, the general theory of these systems has remained rather obscure in comparison to numerical approaches such as finite element models and various other discretisation schemes. There are, however, several theoretical approaches to systems…

2001-06-12abs ↗pdf ↗

Neural networks learn discrete tasks on continuous data via emergent geometry.

problem Understanding how neural networks perform discrete computations on continuous data.
method Analysis of Riemannian pullback metric across neural network layers.
result Neural networks learn to discretize continuous inputs and perform logical operations on these discretized variables.

Circular nets with spherical parameter lines have geometric properties related to Darboux cyclides and terminating Laplace sequences.

problem Discretizing surfaces with spherical curvature lines.
method Lie-geometric discretisation in terms of principal contact element nets.
result Circular nets with two families of spherical parameter lines are related to Darboux cyclides.

In this paper we outline methodology to efficiently simulate (jump) diffusion bridge sample paths without discretisation error. We achieve this by considering the simulation of conditioned (jump) diffusion bridge sample paths in light of recent work developing a mathematical framework for simulating finite dimensional …

2015-05-12abs ↗pdf ↗

Improved tracking of tangled point sources using Riemannian metrics.

problem Tangled point source trajectories in temporal stacks.
method Lifting to higher-dimensional space of roto-translation group, new regularisation based on relaxed Reeds-Shepp metric.
result Reconstruction and untangling of trajectories even from numerical standpoint.

In this paper we propose a novel dual regression-based approach for pricing American options. This approach reduces the complexity of the nested Monte Carlo method and has especially simple form for time discretised diffusion processes. We analyse the complexity of the proposed approach both in the case of fixed and in…

2016-11-19abs ↗pdf ↗

New Euler characteristics for groupoids generalize orbifold Euler characteristics.

problem Generalizing orbifold Euler characteristics to non-orbifold groupoids.
method Introducing two Euler characteristics for groupoids, using o-minimal structures, and relating them to orbifold Euler characteristics.
result The two new Euler characteristics coincide and generalize orbifold Euler characteristics.

The elastic net was introduced as a heuristic algorithm for combinatorial optimisation and has been applied, among other problems, to biological modelling. It has an energy function which trades off a fitness term against a tension term. In the original formulation of the algorithm the tension term was implicitly based…

2011-08-14abs ↗pdf ↗

Improved stability for large-scale Bayesian sampling.

problem Reducing instability in Langevin dynamics for large datasets.
method Introducing a modified CCAdL thermostat with a scaling and squaring method and a truncated Taylor series approximation.
result Significantly improved numerical stability and accuracy over existing methods.

New evidence supports the Euler class one conjecture for tight contact structures.

problem Euler class one conjecture for taut foliations and tight contact structures.
method Analysis of tight contact structures and counterexamples to the conjecture.
result Counterexamples to the Euler class one conjecture for taut foliations are also Euler classes of tight contact structures.