3 papers
math.OC2026
Scalable Bi-causal Optimal Transport via KL Relaxation and Policy Gradients
Haoyang Cao, Jesse Hoekstra, Renyuan Xu +2
Bi-causal optimal transport (OT) is a natural framework for comparing and coupling stochastic processes under nonanticipative information constraints, with important applications i…
q-fin.ST2026
Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure
Minshuo Chen, Renyuan Xu, Yumin Xu +1
Financial scenario simulation is essential for risk management and portfolio optimization, yet it remains challenging especially in high-dimensional and small data settings common…
math.OC2025
Convergence Rate in Nonlinear Two-Time-Scale Stochastic Approximation with State (Time)-Dependence
Zixi Chen, Yumin Xu, Ruixun Zhang
The nonlinear two-time-scale stochastic approximation is widely studied under conditions of bounded variances in noise. Motivated by recent advances that allow for variability link…