Cheng-Lie Han

activity

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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Showing 2016Show all

3 papers · 1 filter

math.PR2016★ 2 cited

Quasi-invariance of countable products of Cauchy measures under non-unitary dilations

Han Cheng Lie, T. J. Sullivan

Consider an infinite sequence $(U_{n})_{n \in N}$ of independent Cauchy random variables, defined by a sequence $(δ_{n})_{n \in N}$ of location parameters and a sequence…

math.PR2016

Cameron-Martin theorems for sequences of symmetric Cauchy-distributed random variables

Han Cheng Lie, T. J. Sullivan

Given a sequence of Cauchy-distributed random variables defined by a sequence of location parameters and a sequence of scale parameters, we consider another sequence of random vari…

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 $d$ -d…