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eess.SP2026
Wiener Space Cubature for Nonlinear Gaussian Filtering
Luke Snow, Daniel Waxman, Matthew E. Levine
Continuous-discrete filtering is a classical problem in signal processing and control theory, whereby the state driving a stochastic differential equation (SDE) must be inferred fr…
cs.LG2026
Malliavin Calculus for Counterfactual Gradient Estimation in Adaptive Inverse Reinforcement Learning
Vikram Krishnamurthy, Luke Snow
Inverse reinforcement learning (IRL) recovers the loss function of a forward learner from its observed responses. Adaptive IRL aims to reconstruct the loss function of a forward le…
cs.CE2026
Efficient Counterfactual Estimation of Conditional Greeks via Malliavin-based Weak Derivatives
Vikram Krishnamurthy, Luke Snow
We study counterfactual gradient estimation of conditional loss functionals of diffusion processes. In quantitative finance, these gradients are known as conditional Greeks: the se…