#stochastic differential equations
21 papers · 1 filter
A criterion for the well-posedness of McKean-Vlasov stochastic differential equations
Zhenxin Liu, Ziting Liu
The paper provides criteria guaranteeing strong existence and pathwise uniqueness for McKean‑Vlasov stochastic differential equations under distribution‑dependent Lyapunov and hybr…
Dynamical Low-Rank Smoothing
Youssef Marzouk, Fabio Nobile, Fabio Zoccolan
The paper introduces a dynamical low-rank approximation framework to create efficient reduced-order smoothers for high-dimensional stochastic differential equation models, extendin…
Dynamical Low-Rank Filters for Data Assimilation
Yoshihito Kazashi, Youssef Marzouk, Fabio Nobile +1
The paper introduces dynamical low-rank (DLR) filters for data assimilation, deriving methods that jointly minimize mean and covariance errors and extending them to Kalman‑Bucy, en…
Denoising growth complexity: Data geometry and certified schedules for diffusion sampling
Martin J. Wainwright
The paper introduces the denoising growth complexity (DGC) as a geometric measure to analyze diffusion‑based sampling, and uses it to derive certified KL‑error bounds for Euler‑typ…
Concise -representations of a path
Emilio Ferrucci, Oliver Perrée, Terry Lyons
The paper investigates how to store a path using a truncated log-signature with the optimal balance between the number of intervals and signature degree, minimizing memory while gu…
The ergodicity of nonlinear McKean-Vlasov stochastic differential equations with common noise
Xing Chen, Xiaoyue Li, Chenggui Yuan
The paper investigates the long‑time behavior of nonlinear McKean‑Vlasov stochastic differential equations with common noise, constructing a lifted semigroup to prove existence and…