2 citations · 4 across the 4 of their papers we have counts for
4 papers
Markov Chain Approximations to Stochastic Differential Equations by Recombination on Lattice Trees
Francesco Cosentino, Harald Oberhauser, Alessandro Abate
We revisit the classical problem of approximating a stochastic differential equation by a discrete-time and discrete-space Markov chain. Our construction iterates Caratheodory's th…
Grid-Free Computation of Probabilistic Safety with Malliavin Calculus
Francesco Cosentino, Harald Oberhauser, Alessandro Abate
This work concerns continuous-time, continuous-space stochastic dynamical systems described by stochastic differential equations (SDE). It presents a new approach to compute probab…
Carathéodory Sampling for Stochastic Gradient Descent
Francesco Cosentino, Harald Oberhauser, Alessandro Abate
Many problems require to optimize empirical risk functions over large data sets. Gradient descent methods that calculate the full gradient in every descent step do not scale to suc…
A Randomized Algorithm to Reduce the Support of Discrete Measures
Francesco Cosentino, Harald Oberhauser, Alessandro Abate
Given a discrete probability measure supported on atoms and a set of real-valued functions, there exists a probability measure that is supported on a subset of of the…