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- Beijing Academy of Artificial IntelligenceCN102 papers
- Shanghai Jiao Tong UniversityCN46 papers
- Chinese University of Hong KongHK26 papers
- Tsinghua UniversityCN25 papers
- Fudan UniversityCN21 papers
- Group Sense (China)CN17 papers
- Northwestern Polytechnical UniversityCN14 papers
- ShangHai JiAi Genetics & IVF InstituteCN14 papers
- University of Science and Technology of ChinaCN14 papers
- University of Hong KongHK13 papers
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- Tongji UniversityCN11 papers
5 papers · 1 filter
Self-interacting approximation to McKean-Vlasov long-time limit: a Markov chain Monte Carlo method
Kai Du, Zhenjie Ren, Florin Suciu +1
For a certain class of McKean-Vlasov processes, we introduce proxy processes that substitute the mean-field interaction with self-interaction, employing a weighted occupation measu…
Explicit solutions for a class of nonlinear backward stochastic differential equations and their nodal sets
Zengjing Chen, Shuhui Liu, Zhongmin Qian +1
In this paper, we investigate a class of nonlinear backward stochastic differential equations (BSDEs) arising from financial economics, and give specific information about the noda…
Optimal probabilities and controls for reflecting diffusion processes
Zhongmin Qian, Xingcheng Xu
A solution to the optimal problem for determining vector fields which maximize (resp. minimize) the transition probabilities from one location to another for a class of reflecting…
Lévy Area Analysis and Parameter Estimation for fOU Processes via Non-Geometric Rough Path Theory
Zhongmin Qian, Xingcheng Xu
This paper addresses the estimation problem of an unknown drift parameter matrix for a fractional Ornstein-Uhlenbeck process in a multi-dimensional setting. To tackle this problem,…
Rough Path Renormalization from Stratonovich to Itô for Fractional Brownian Motion
Zhongmin Qian, Xingcheng Xu
This paper develops an Itô-type fractional pathwise integration theory for fractional Brownian motion with Hurst parameters \( H \in (\frac{1}{3}, \frac{1}{2}] \), using the Lyons'…