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math.PR2023
Siegel Brownian motion
Govind Menon, Tianmin Yu
We construct an analogue of Dyson Brownian motion in the Siegel half-space H that we term Siegel Brownian motion. Given βin (0,\infty], a stochastic flow for Z_t in H is introduced…
math.PR2023
The Riemannian Langevin equation and conic programs
Govind Menon, Tianmin Yu
Diffusion limits provide a framework for the asymptotic analysis of stochastic gradient descent (SGD) schemes used in machine learning. We consider an alternative framework, the Ri…