2 papers
stat.ML2026
Wong--Zakai Convergence and FNO Learning for Stochastic Volterra Equations
Wonjae Lee, Jiuk Jang, Hyungbin Park
This paper studies Wong--Zakai convergence and Fourier neural operator learning for stochastic Volterra integral equations (SVIEs) describing random systems with memory. A Wong--Za…
math.PR2026
Two-grid Penalty Approximation Scheme for Doubly Reflected BSDEs
Wonjae Lee, Hyungbin Park
We study penalization coupled with time discretization for decoupled Markovian doubly reflected BSDEs with obstacles \(p_b(t,X_t)\le Y_t\le p_w(t,X_t)\). The DRBSDE is approximated…