135 citations · 234 across the 30 of their papers we have counts for
7 papers · 1 filter
Non-asymptotic convergence bounds for modified tamed unadjusted Langevin algorithm in non-convex setting
Ariel Neufeld, Matthew Ng Cheng En, Ying Zhang
We consider the problem of sampling from a high-dimensional target distribution on with density proportional to using explicit numerical…
On the stability of the martingale optimal transport problem: A set-valued map approach
Ariel Neufeld, Julian Sester
Continuity of the value of the martingale optimal transport problem on the real line w.r.t. its marginals was recently established in Backhoff-Veraguas and Pammer [2] and Wiesel [2…
Affine processes under parameter uncertainty
Tolulope Fadina, Ariel Neufeld, Thorsten Schmidt
We develop a one-dimensional notion of affine processes under parameter uncertainty, which we call non-linear affine processes. This is done as follows: given a set of parameters f…
Stochastic integration and differential equations for typical paths
Daniel Bartl, Michael Kupper, Ariel Neufeld
The goal of this paper is to define stochastic integrals and to solve stochastic differential equations for typical paths taking values in a possibly infinite dimensional separable…
Compactness Criterion for Semimartingale Laws and Semimartingale Optimal Transport
Chong Liu, Ariel Neufeld
We provide a compactness criterion for the set of laws on the Skorokhod space for which the canonical process is a semimartingale having absolutely…
Nonlinear Lévy Processes and their Characteristics
Ariel Neufeld, Marcel Nutz
We develop a general construction for nonlinear Lévy processes with given characteristics. More precisely, given a set of Lévy triplets, we construct a sublinear expectation on…