61 citations · 542 across the 63 of their papers we have counts for
74 papers
Zador Theorem for optimal quantization with respect to Bregman divergences
Guillaume Boutoille, Gilles Pagès
We establish a Zador like theorem for -optimal vector quantization when the similarity measure is a twice differentiable Bregman divergence of a strictly convex function. On o…
Policy Gradient Optimal Correlation Search for Variance Reduction in Monte Carlo simulation and Maximum Optimal Transport
Pierre Bras, Gilles Pagès
We propose a new algorithm for variance reduction when estimating where is the solution to some stochastic differential equation and is a test function. The new es…
Efficient simulation of a new class of Volterra-type SDEs
Ofelia Bonesini, Giorgia Callegaro, Martino Grasselli +1
We propose a new theoretical framework that exploits convolution kernels to transform a Volterra-type path-dependent (non-Markovian) stochastic process into a standard (Markovian)…
Convex ordering for stochastic Volterra equations and their Euler schemes
Benjamin Jourdain, Gilles Pagès
In this paper, we are interested in comparing solutions to stochastic Volterra equations for the convex order on the space of continuous -valued paths and for the monotonic c…
Convergence of Langevin-Simulated Annealing algorithms with multiplicative noise II: Total Variation
Pierre Bras, Gilles Pagès
We study the convergence of Langevin-Simulated Annealing type algorithms with multiplicative noise, i.e. for a potential function to minimize, we…
Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme
Pierre Bras, Gilles Pagès, Fabien Panloup
We give bounds for the total variation distance between the solutions to two stochastic differential equations starting at the same point and with close coefficients, which applies…