2 citations · 3 across the 4 of their papers we have counts for
4 papers
Diffeomorphic Markov Chain Monte Carlo: fast mixing for heavy-tailed distributions
Miha Brešar, Aleksandar Mijatović
We introduce a new class of uniformly ergodic MCMC algorithms, termed Diffeomorphic Contraction Sampler (DCS), and provide fast non-asymptotic mixing guarantees for DCS targeting d…
Probabilistic Multivariate Time Series Forecasting with Diffusion Copulas
David Huk, Dongshan Wang, Miha Bresar
Accurately assessing financial risk requires capturing both individual asset volatility and the complex, asymmetric dependence structures that emerge during extreme market events.…
Superdiffusive limits for stochastic kinetics driven by self-similar drifts
Miha Brešar, Conrado da Costa, Aleksandar Mijatović +1
We prove anomalous-diffusion scaling for a one-dimensional stochastic kinetic dynamics, in which the stochastic drift is driven by an exogenous self-similar noise, and also include…
Brownian motion with asymptotically normal reflection in unbounded domains: from transience to stability
Miha Brešar, Aleksandar Mijatović, Andrew Wade
We quantify the asymptotic behaviour of multidimensional drifltess diffusions in domains unbounded in a single direction, with asymptotically normal reflections from the boundary.…