4 papers · 1 filter
An Eyring--Kramers Law for the Hypoelliptic Third-Order Langevin Diffusion
Yingli Wang, Lingjiong Zhu
We prove an Eyring--Kramers law for metastable transitions of the hypoelliptic third-order Langevin diffusion in the low-temperature limit. This diffusion is a three-level Markovia…
Weak Equilibrium Measures and Capacity--Hitting Identities for the Hypoelliptic Third-Order Langevin Diffusion
Ping He, Xiaodan Li, Yingli Wang +1
We construct weak equilibrium measures and weak capacities for the hypoelliptic third-order Langevin diffusion motivated by an accelerated sampling algorithm (Mou et al. (2021) \te…
Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing
Yingli Wang, Zhenyu Cui, Lingjiong Zhu
We study nearly unstable bivariate cumulative heavy-tailed INAR() processes and show that, under a one-factor parameterization and a suitable scaling, they converge to the…
Sampling non-log-concave densities via Hessian-free high-resolution dynamics
Xiaoyu Wang, Yingli Wang, Lingjiong Zhu
We study the problem of sampling from a target distribution on , where can be non-convex, via the Hessian-free high-resolution (HFHR) dyn…