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math.PR2025
Minimal Solutions to the Skorokhod Reflection Problem Driven by Jump Processes and an Application to Reinsurance
Graeme Baker, Ankita Chatterjee
We consider a reflected process in the positive orthant driven by an exogenous jump process. For a given input process, we show that there exists a unique minimal strong solution t…
stat.ML2025
Data-Driven Dynamic Factor Modeling via Manifold Learning
Graeme Baker, Agostino Capponi, J. Antonio Sidaoui
We introduce a data-driven dynamic factor framework for modeling the joint evolution of high-dimensional covariates and responses without parametric assumptions. Standard factor mo…
math.PR2025
Particle Systems and McKean--Vlasov Dynamics with Singular Interaction through Local Times
Graeme Baker, Ben Hambly, Philipp Jettkant
We study a system of reflected Brownian motions on the positive half-line in which each particle has a drift toward the origin determined by the local times at the origin of all th…