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20162026
most citedStrong convergence rates of probabilistic integrators for ordinary differential equations

25 citations · 125 across the 21 of their papers we have counts for

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math.OC2019★ 1 cited

On a degeneracy ratio for bounded convex polytopes

Nada Cvetković, Han Cheng Lie

We consider a quantity that measures the roundness of a bounded, convex -polytope in . We majorise this quantity in terms of the smallest singular value of the mat…

math.OC2016★ 5 cited

Convexity of a stochastic control functional related to importance sampling of Itô diffusions

Han Cheng Lie

We consider the problem of rare event importance sampling, where the random variable of interest is a path functional of an Itô diffusion computed up to the first exit from a -d…