From the 1 of 7 linked papers with an AI index.
7 papers
Optimal resource allocation for maintaining system solvency
Gaoyue Guo, Wenpin Tang, Nizar Touzi
The paper studies how to allocate a limited resource among independent Brownian agents to maximize either the probability that all agents avoid ruin or the expected number of agent…
Path-Dependent Ergodic Optimal Control and Backward Stochastic Differential Equations
Xuyang Lin, Mathieu Lise, Nizar Touzi
We investigate a new class of infinite-horizon backward stochastic differential equations for ergodic optimal control where the cost and state dynamics are time and path-dependent.…
Bridging Schrödinger and Bass: A Semimartingale Optimal Transport Problem with Diffusion Control
Pierre Henry-Labordere, Grégoire Loeper, Othmane Mazhar +2
We study a semimartingale optimal transport problem interpolating between the Schrödinger bridge and the stretched Brownian motion associated with the Bass solution of the Skorokh…
Sensitivity Analysis of Distributionally Robust BSDEs and RBSDEs
Arthur Compoint, Nathan Sauldubois, Nizar Touzi
We examine the sensitivity properties of backward stochastic differential equations and reflected backward stochastic differential equations, which naturally arise in the context o…
Tweedie's Formulae and Diffusion Generative Models Beyond Gaussian
Wenpin Tang, Nizar Touzi, Zikun Zhang +1
Diffusion models have achieved remarkable success in generating samples from unknown data distributions. Most popular stochastic differential equation-based diffusion models pertur…
LightSBB-M: Bridging Schrödinger and Bass for Generative Diffusion Modeling
Alexandre Alouadi, Pierre Henry-Labordère, Grégoire Loeper +3
The Schrodinger Bridge and Bass (SBB) formulation, which jointly controls drift and volatility, is an established extension of the classical Schrodinger Bridge (SB). Building on th…