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20102024
most citedOverlapping Batch Confidence Intervals on Statistical Functionals Constructed from Time Series: Application to Quantiles, Optimization, and Estimation

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math.OC2024

An Efficient High-Dimensional Gradient Estimator for Stochastic Differential Equations

Shengbo Wang, Jose Blanchet, Peter Glynn

Overparameterized stochastic differential equation (SDE) models have achieved remarkable success in various complex environments, such as PDE-constrained optimization, stochastic c…