3 papers
math.PR2026
Path-Dependent Ergodic Optimal Control and Backward Stochastic Differential Equations
Xuyang Lin, Mathieu Lise, Nizar Touzi
We investigate a new class of infinite-horizon backward stochastic differential equations for ergodic optimal control where the cost and state dynamics are time and path-dependent.…
math.PR2026
Convergence rates for an Adaptive Biasing Potential scheme from a Wasserstein optimization perspective
Tony Lelièvre, Xuyang Lin, Pierre Monmarché
Free-energy-based adaptive biasing methods, such as Metadynamics, the Adaptive Biasing Force (ABF) and their variants, are enhanced sampling algorithms widely used in molecular sim…
q-fin.MF2024
Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
Eduardo Abi Jaber, Shaun, Li +1
We consider the Fourier-Laplace transforms of a broad class of polynomial Ornstein-Uhlenbeck (OU) volatility models, including the well-known Stein-Stein, Schöbel-Zhu, one-factor…