Chang-Han Rhee

activity

20242026

collaborators

3 papers

math.PR2026

First-Exit Time Analysis for Truncated Heavy-Tailed Dynamical Systems

Xingyu Wang, Chang-Han Rhee

In this paper, we study the first-exit time of stochastic difference equation $X^{I^} \cdot_{j + 1} (x) = X^{I^} \cdot_{j} (x) + I^\cdot a (X^{I^} \cdot_{j} (x)) + I^\cdot I ¨ (X^{I^} \cdot_{j} (x)) Z_{j + 1}$ and its…

cs.LG2025

Global Dynamics of Heavy-Tailed SGDs in Nonconvex Loss Landscape: Characterization and Control

Xingyu Wang, Chang-Han Rhee

Stochastic gradient descent (SGD) and its variants enable modern artificial intelligence. However, theoretical understanding lags far behind their empirical success. It is widely b…

math.PR2024

Zhe Su, Chang-Han Rhee

The large deviations theory for heavy-tailed processes has seen significant advances in the recent past. In particular, Rhee et al. (2019) and Bazhba et al. (2020) established larg…

First-Exit Time Analysis for Truncated Heavy-Tailed Dynamical Systems

Global Dynamics of Heavy-Tailed SGDs in Nonconvex Loss Landscape: Characterization and Control

Sample-Path Large Deviations for LÃ©vy Processes and Random Walks with Lognormal Increments