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math.PR2023
Pathwise convergence of the Euler scheme for rough and stochastic differential equations
Andrew L. Allan, Anna P. Kwossek, Chong Liu +1
The convergence of the first order Euler scheme and an approximative variant thereof, along with convergence rates, are established for rough differential equations driven by càdlà…
math.PR2023
Optimal Stopping via Distribution Regression: a Higher Rank Signature Approach
Blanka Horvath, Maud Lemercier, Chong Liu +2
Distribution Regression on path-space refers to the task of learning functions mapping the law of a stochastic process to a scalar target. The learning procedure based on the notio…