84 citations · 277 across the 25 of their papers we have counts for
7 papers · 1 filter
Two-sided Bogoliubov inequality to estimate finite size effects in quantum molecular simulations
Benedikt Reible, Carsten Hartmann, Luigi Delle Site
We generalise the two-sided Bogoliubov inequality for classical particles from [L. Delle Site et al., J.Stat.Mech.Th.Exp. 083201 (2017)] to systems of quantum particles. As in the…
-Hypergeometric Uncertain Volatility Models and their Connection to 2BSDEs
Zaineb Mezdoud, Carsten Hartmann, Mohamed Riad Remita +1
In this article we propose a -hypergeometric model with uncertain volatility (UV) where we derive a worst-case scenario for option pricing. The approach is based on the connexio…
Choice of Damping Coefficient in Langevin Dynamics
Robert D. Skeel, Carsten Hartmann
This article considers the application of Langevin dynamics to sampling and investigates how to choose the damping parameter in Langevin dynamics for the purpose of maximizing thor…
Reachability Analysis of Randomly Perturbed Hamiltonian Systems
Carsten Hartmann, Lara Neureither, Markus Strehlau
In this paper, we revisit energy-based concepts of controllability and reformulate them for control-affine nonlinear systems perturbed by white noise. Specifically, we discuss the…
Stochastic gradient descent and fast relaxation to thermodynamic equilibrium: a stochastic control approach
Tobias Breiten, Carsten Hartmann, Lara Neureither +1
We study the convergence to equilibrium of an underdamped Langevin equation that is controlled by a linear feedback force. Specifically, we are interested in sampling the possibly…
Nonasymptotic bounds for suboptimal importance sampling
Carsten Hartmann, Lorenz Richter
Importance sampling is a popular variance reduction method for Monte Carlo estimation, where a notorious question is how to design good proposal distributions. While in most cases…