Research
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.

168,694 papers · 148 categories

Trend · papers per month

178357535713 · Jun 202019922001200920172026
48 results for conditional processes

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.

LatentFlow simplifies conditioning of stochastic processes without training.

problem Intractable conditional laws for complex stochastic models.
method Writing stochastic process as latent innovation, reducing conditioning to latent-space inference.
result Exact conditional sampling across various model classes.

GP-ConvCNP improves NP models for time series data by adding Gaussian Process.

problem GP-ConvCNP addresses the lack of generalization and robustness in ConvCNP models for time series data.
method GP-ConvCNP incorporates a Gaussian Process to improve ConvCNP's performance and generalization.
result GP-ConvCNP models show improved generalization and robustness to distribution shifts and future extrapolation.

Ens-CGP synthesizes ensemble-based inference with Gaussian processes.

problem Ensemble-based inference and Gaussian process modeling.
method Formulates Ens-CGP as a conditional Gaussian process for ensemble moments.
result Ens-CGP provides a unified probabilistic foundation for Kalman-type methods.

RCNPs extend equivariant neural processes to higher dimensions, improving performance on tasks with inherent symmetries.

problem Inherently equivariant tasks in spatio-temporal modeling, Bayesian Optimization, and continuous control.
method Relational Conditional Neural Processes (RCNPs) that extend equivariances to higher dimensions.
result Empirically competitive performance on tasks with equivariances.

We use GANs and signatures to approximate conditional laws in filtering and prediction of diffusion processes.

problem Approximating conditional laws for diffusion processes with noisy observations.
method Conditional GANs combined with signatures for approximation.
result Efficient approximation of conditional laws for diffusion processes.

We introduce a novel encoder-decoder architecture to embed functional processes into latent vector spaces. This embedding can then be decoded to sample the encoded functions over any arbitrary domain. This autoencoder generalizes the recently introduced Conditional Neural Process (CNP) model of random processes. Our ar…

2018-12-13abs ↗pdf ↗

This work introduces a new model for complex stochastic processes.

problem Difficulties in representing non-stationary distributions with conventional models.
method Recurrent Autoregressive Flows using normalizing flows with recurrent neural connections.
result Demonstrates the effectiveness of the proposed model through experiments.

This work introduces efficient sampling methods for Gaussian processes by focusing on pathwise conditioning.

problem Intractable mathematical expressions in Gaussian process posteriors limit practical applications.
method Investigates a pathwise interpretation of conditioning to derive efficient sampling methods.
result Derives a general family of approximations that allow for efficient sampling of Gaussian process posteriors.

The paper explores risk-minimization for exponential additive models, providing mathematical expressions and numerical examples.

problem Risk-minimization in incomplete markets for exponential additive models.
method Derive explicit mathematical expressions for local risk-minimization strategies in exponential additive models.
result Provide necessary conditions for deriving expressions and confirm integrability conditions for specific models.

TSFlow uses Gaussian processes to match priors for better time series forecasting.

problem Difficulties in aligning generative models' priors with time series data.
method Conditional flow matching (CFM) with Gaussian processes, optimal transport, and data-dependent priors.
result TSFlow produces high-quality unconditional samples and competitive forecasting results.

We simplify Volterra process predictions by reducing dimensionality and using a tailored deep learning model.

problem Predicting the conditional law of Volterra processes with stochastic volatility is challenging due to high dimensionality and non-smoothness.
method We developed a stable dimension reduction technique onto a low-dimensional statistical manifold of non-positive curvature and introduced a sequentially deep learning model tailored to this geometry.
result Our model can approximate the conditional law of Volterra processes with approximation rates achievable only with very large networks.

CSI method learns conditional distributions by estimating flow equations.

problem Learning conditional distributions in generative models.
method Estimates probability flow equations to transport reference to target distribution.
result Derives explicit expressions for conditional drift and score functions.

We formulate a sufficient condition for the existence of a consistent price system (CPS), which is weaker than the conditional full support condition (CFS) introduced by Guasoni, Rasonyi, and Schachermayer [Ann. Appl. Probab., 18(2008), pp. 491-520] . We use the new condition to show the existence of CPSs for certain p…

2009-11-19abs ↗pdf ↗

Develops a test for conditional local independence of counting processes.

problem Testing the hypothesis of conditional local independence among continuous time stochastic processes.
method Introduces a new functional parameter, the Local Covariance Measure (LCM), and proposes a test called (X)-LCT using nonparametric estimators and sample splitting or cross-fitting.
result The (X)-LCT test can be controlled uniformly with modest rates, and it works well without restrictive parametric assumptions.

This dissertation advances scalable Gaussian processes using iterative methods and pathwise conditioning.

problem The classical Gaussian process formulation is not scalable for large datasets and modern hardware.
method Combining iterative methods and pathwise conditioning to improve scalability.
result Significantly reduced memory requirements and facilitated application to larger datasets.

The paper studies Hawkes processes under mean-field limits and criticality conditions.

problem Analyzing nearly unstable Hawkes processes in a mean-field regime.
method Extending the method by Jaisson and Rosenbaum, establishing scaling limits and propagation of chaos.
result Scaling limits of Hawkes processes are stochastic Volterra diffusions of affine type, with three distinct limiting regimes.

We study the task of learning from non-i.i.d. data. In particular, we aim at learning predictors that minimize the conditional risk for a stochastic process, i.e. the expected loss of the predictor on the next point conditioned on the set of training samples observed so far. For non-i.i.d. data, the training set contai…

2015-10-09abs ↗pdf ↗

Gaussian processes are conditioned on various types of data.

problem Exact inference in Gaussian processes is limited to linear-Gaussian settings.
method Established an equivalence between GPs and linear diffusion models, allowing for approximate inference in non-linear settings.
result A general-purpose GP inference scheme that handles various conditioning statements, including non-linear physics and natural language.

Extends neural diffusion processes for multi-task regression.

problem Limited to single-task inference, existing formulations cannot capture dependencies across related tasks.
method Introduces a task encoder to condition diffusion model on low-dimensional representations of context observations.
result Improves predictive performance and uncertainty calibration across related functions.

Exact simulation method for market impact estimation under various execution strategies.

problem Estimating market impact from observed price trajectories under different execution strategies.
method Conditional simulation of point processes under perturbed intensities.
result Exact, event-driven algorithm for reconstructing counterfactual paths.

CQNPs enhance predictive performance and distribution modeling using quantile regression.

problem Limited predictive likelihood of Gaussian models for complex distributions.
method Introducing Conditional Quantile Neural Processes (CQNPs) that focus on estimating informative quantiles.
result Significant improvements in predictive performance and better modeling of multimodal distributions.

We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian motions. As an application, we consider conditional-mean hedging under transaction costs in Black-Scho…

2017-08-09abs ↗pdf ↗

We introduce Graph Neural Processes (GNP), inspired by the recent work in conditional and latent neural processes. A Graph Neural Process is defined as a Conditional Neural Process that operates on arbitrary graph data. It takes features of sparsely observed context points as input, and outputs a distribution over targ…

2019-02-26abs ↗pdf ↗

Study improves posterior inference in neural processes with limited data.

problem Improving posterior predictive inference in probabilistic models with scarce conditioning data.
method Examined effects of pooling operators and variational families on posterior quality in neural processes.
result Novel neural process architectures lead to superior posterior predictive samples in image completion/in-painting tasks.

We study learning problems in which the conditional distribution of the output given the input varies as a function of additional task variables. In varying-coefficient models with Gaussian process priors, a Gaussian process generates the functional relationship between the task variables and the parameters of this con…

2015-08-28abs ↗pdf ↗

GGMPs improve non-Gaussian conditional density estimation.

problem Multimodality, heteroscedasticity, and strong non-Gaussianity in conditional density estimation.
method GGMP combines local Gaussian mixture fitting, cross-input component alignment, and per-component heteroscedastic GP training.
result GGMPs improve distributional approximation on synthetic and real-world datasets.

We improve bounds for stochastic processes, especially those with heavy tails.

problem Bounding the concentration of sub-ψψ processes with heavy tails.
method Variational approach to concentration, focusing on sub-Gaussian and other tail conditions.
result First dimension-free self-normalized empirical Bernstein inequality.

The paper studies empirical processes from nearest neighbors in regression.

problem Estimating conditional cumulative distribution functions and local linear regression.
method Uniform central limit theorem and non-asymptotic bound under local bracketing entropy and uniform entropy numbers.
result Gaussian limit of empirical process with simple covariance.

This work forecasts electricity prices using Bayesian regime detection and conditional neural processes.

problem Forecasting electricity prices with optimal operational outcomes.
method Bayesian regime detection with conditional neural processes, integrating multi-criteria decision support.
result R-NP model outperformed other models in comprehensive operational utility assessments.

ACE models allow flexible conditioning and prediction of latent variables.

problem Lack of flexibility in conditioning and prediction of latent variables in probabilistic models.
method Introduces Amortized Conditioning Engine (ACE) that explicitly represents latent variables and allows runtime conditioning and prediction.
result ACE models outperform existing methods in diverse tasks like image completion, classification, Bayesian optimization, and simulation-based inference.

The paper distinguishes between conditional and marginal processes in language models and discusses conditions for usefulness.

problem The conditional nature of language models trained on observed sequences and the need for marginal text-only processes.
method Distinguishing between full conditional language process, marginal text-only process, and model-induced distribution; analyzing assumptions of stationarity and ergodicity.
result The marginal text-only law is useful only when the observed prefix is an approximately sufficient statistic for the latent circumstances relevant to continuation.