2 papers
stat.ME2026
Splitting schemes and estimators for stochastic differential equations with Hölder multiplicative noise
Bowen Fang, Dario Spanò, Massimiliano Tamborrino
We study parameter estimation for univariate stochastic differential equations with locally Lipschitz drift and Hölder continuous multiplicative diffusion, a class commonly arising…
cs.LG2023
A Neural RDE-based model for solving path-dependent PDEs
Bowen Fang, Hao Ni, Yue Wu
The concept of the path-dependent partial differential equation (PPDE) was first introduced in the context of path-dependent derivatives in financial markets. Its semilinear form w…