2 papers
math.PR2025
Local Limit Theorems and Strong Approximations for Robbins-Monro Procedures
Valentin Konakov, Enno Mammen, Lorick Huang
The Robbins-Monro algorithm is a recursive, simulation-based stochastic procedure to approximate the zeros of a function that can be written as an expectation. It is known that und…
math.AP2025
Weak uniqueness for the PDE governing the joint law of a diffusion and its running supremum
Laure Coutin, Lorick Huang, Monique Pontier
In a previous work [8], it was shown that the joint law of a diffusion process and the running supremum of its first component is absolutely continuous, and that its density satisf…