2 citations · 2 across the 1 of their papers we have counts for
3 papers
math.PR2021★ 2 cited
Fréchet derivatives of expected functionals of solutions to stochastic differential equations
Han Cheng Lie
In the analysis of stochastic dynamical systems described by stochastic differential equations (SDEs), it is often of interest to analyse the sensitivity of the expected value of a…
math.NA2019
A convergent discretisation method for transition path theory for diffusion processes
Nada Cvetković, Tim Conrad, Han Cheng Lie
Transition path theory (TPT) for diffusion processes is a framework for analysing the transitions of multiscale ergodic diffusion processes between disjoint metastable subsets of s…
math.PR2018
Fréchet differentiable drift dependence of Perron--Frobenius and Koopman operators for non-deterministic dynamics
Péter Koltai, Han Cheng Lie, Martin Plonka
We consider Perron-Frobenius and Koopman operators associated to time-inhomogeneous ordinary stochastic differential equations, and establish their Fréchet differentiability with r…