On-device research index

arXiv research

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.

168,742 papers · 148 categories

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6 results for “Fokker-Planck-Kolmogorov”

Scalable Inference in SDEs by Direct Matching of the Fokker-Planck-Kolmogorov Equationcs.LG

New method speeds up SDE inference by matching moments to FPK equation.

problem Efficiency of sampling schemes in high-dimensional SDEs.

method Direct approximation of Fokker-Planck-Kolmogorov equation by matching moments.

result Fast, scalable inference in high-dimensional latent spaces.

SDEs Fokker-Planck-Kolmogorov Stochastic Runge-Kutta Moment matching Scalability

2021-10-29abs ↗pdf ↗

Markovian projections for Itô semimartingales with jumpsmath.PR

Projects Markovian processes from Itô semimartingales with jumps.

problem Modeling Itô semimartingales with jumps using Markovian projections.

method Construct Markovian projections for Itô semimartingales with jumps using non-local FPKEs.

result Markovian projections match the marginal laws of the original process.

Markovian projections Itô semimartingales jumps Fokker-Planck-Kolmogorov equations calibrated models

2024-03-24abs ↗pdf ↗

Centralized systemic risk control in the interbank system: Weak formulation and Gamma-convergencemath.OC

Paper studies central bank's strategy to control systemic risk in interbank system.

problem Minimizing average distance between log-monetary reserves and target levels.

method Weak formulation, Ekeland's variational principle, Gamma-convergence, stochastic Fokker-Planck-Kolmogorov equation.

result Proves convergence of optimal strategies as number of banks increases.

systemic risk central bank interbank system Gamma-convergence weak formulation

2021-06-18abs ↗pdf ↗

SIMPOL Model for Solving Continuous-Time Heterogeneous Agent Problemsq-fin.CP

SIMPOL solves complex economic models using numerical methods.

problem Optimizing consumption and savings under uncertainty.

method SIMPOL uses a modular numerical framework combining policy iteration and finite difference schemes.

result SIMPOL produces solutions consistent with economic and mathematical theory.

SIMPOL Heterogeneous Agent Models Continuous-Time Policy Iteration Finite Difference

2025-09-28abs ↗pdf ↗

Massive Autonomous UAV Path Planning: A Neural Network Based Mean-Field Game Theoretic Approacheess.SY

This paper investigates the autonomous control of massive unmanned aerial vehicles (UAVs) for mission-critical applications (e.g., dispatching many UAVs from a source to a destination for firefighting). Achieving their fast travel and low motion energy without inter-UAV collision under wind perturbation is a daunting c…

2019-05-10abs ↗pdf ↗

Convergence of Policy Gradient for Entropy Regularized MDPs with Neural Network Approximation in the Mean-Field Regimemath.OC

Study shows policy gradient convergence for entropy-regularized MDPs with neural nets in mean-field regime.

problem Global convergence of policy gradient for entropy-regularized MDPs with neural network approximation.

method Softmax policy with neural network approximation in mean-field regime, gradient flow in 2-Wasserstein metric, exponential convergence under sufficient regularization.

result Gradient flow converges exponentially fast to the unique stationary solution under sufficient regularization.

policy gradient entropy regularization Markov decision processes mean-field regime neural networks

2022-01-18abs ↗pdf ↗