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7 papers · 1 filter
A regression-based Monte Carlo method to solve backward stochastic differential equations
Emmanuel Gobet, Jean-Philippe Lemor, Xavier Warin
We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, wh…
Concentration for independent random variables with heavy tails
Franck Barthe, Patrick Cattiaux, Cyril Roberto
If a random variable is not exponentially integrable, it is known that no concentration inequality holds for an infinite sequence of independent copies. Under mild conditions, we e…
A microscopic model for Stefan's melting and freezing problem
Claudio Landim, Glauco Valle
We study a class of one-dimensional interacting particle systems with random boundaries as a microscopic model for Stefan's melting and freezing problem. We prove that under diffus…
Quantitative bounds on convergence of time-inhomogeneous Markov chains
R. Douc, E. Moulines, Jeffrey S. Rosenthal
Convergence rates of Markov chains have been widely studied in recent years. In particular, quantitative bounds on convergence rates have been studied in various forms by Meyn and…
On approximate pattern matching for a class of Gibbs random fields
Jean-Rene Chazottes, Frank Redig, Evgeny Verbitskiy
We prove an exponential approximation for the law of approximate occurrence of typical patterns for a class of Gibssian sources on the lattice , . From this re…
Some Local Measures of Complexity of Convex Hulls and Generalization Bounds
Olivier Bousquet, Vladimir Koltchinskii, Dmitry Panchenko
We investigate measures of complexity of function classes based on continuity moduli of Gaussian and Rademacher processes. For Gaussian processes, we obtain bounds on the continuit…