9 papers
From Pitman's local times representation to the Gorin-Shkolnikov identity and beyond
Wenpin Tang
We give a novel proof of the Gorin-Shkolnikov identity based on Pitman's SDE representation of Brownian excursion local times. More generally, we derive a family of Gaussian identi…
Proof of Stake economy under centralized exchanges--a mean field model
Wenpin Tang
We consider the interaction between centralized trading and decentralized Proof of Stake (PoS) blockchain ecosystems. Motivated by the increasing dominance of centralized exchanges…
Conditional Diffusion Guidance under Hard Constraint: A Stochastic Analysis Approach
Zhengyi Guo, Wenpin Tang, Renyuan Xu
We study conditional generation in diffusion models under hard constraints, where generated samples must satisfy prescribed events with probability one. Such constraints arise natu…
ART for Diffusion Sampling: A Reinforcement Learning Approach to Timestep Schedule
Yilie Huang, Wenpin Tang, Xunyu Zhou
We consider time discretization for score-based diffusion models to generate samples from a learned reverse-time dynamic on a finite grid. Uniform and hand-crafted grids can be sub…
Optimal Decisions for Liquid Staking: Allocation and Exit Timing
Ruofei Ma, Zhebiao Cai, Wenpin Tang +1
In this paper, we study an investor's optimal entry and exit decisions in a liquid staking protocol (LSP) and an automated market maker (AMM), primarily from the standpoint of the…
Beyond separability: convergence rate of vanishing viscosity approximations to mean field games via FBSDE stability
Winston Yu, Qiang Du, Wenpin Tang
This paper studies the vanishing viscosity approximation to mean field games (MFGs) in with a nonlocal and possibly non-separable Hamiltonian. We prove that the valu…
The football model, stochastic ordering and martingale transport
Gaoyue Guo, Nicolas Juillet, Wenpin Tang
Tournaments are competitions between a number of teams, the outcome of which determines the relative strength or rank of each team. In many cases, the strength of a team in the tou…
Analysis of the Order Flow Auction under Proposer-Builder Separation on Blockchain
Ruofei Ma, Wenpin Tang, David Yao
We study the impact of the order flow auction (OFA) in the context of the proposer-builder separation (PBS) mechanism in blockchains through a game-theoretic perspective. The OFA i…
Fine-tuning of diffusion models via stochastic control: entropy regularization and beyond
Wenpin Tang, Fuzhong Zhou
This paper aims to develop and provide a rigorous treatment to the problem of entropy regularized fine-tuning in the context of continuous-time diffusion models, which was recently…