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09/05/2023
Hyperbolic contractivity and the Hilbert metric on probability measures
This paper gives a self-contained introduction to the Hilbert projective...
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06/20/2023
Mean-field Analysis of Generalization Errors
We propose a novel framework for exploring weak and L_2 generalization e...
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05/17/2023
Nowcasting with signature methods
Key economic variables are often published with a significant delay of o...
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05/10/2023
Global Convergence of Deep Galerkin and PINNs Methods for Solving Partial Differential Equations
Numerically solving high-dimensional partial differential equations (PDE...
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05/03/2023
Exponential contractions and robustness for approximate Wonham filters
We consider the problem of estimating the state of a continuous-time Mar...
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11/21/2022
A Framework for Auditable Synthetic Data Generation
Synthetic data has gained significant momentum thanks to sophisticated m...
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11/12/2022
TAPAS: a Toolbox for Adversarial Privacy Auditing of Synthetic Data
Personal data collected at scale promises to improve decision-making and...
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05/31/2022
Hedging option books using neural-SDE market models
We study the capability of arbitrage-free neural-SDE market models to yi...
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05/06/2022
Synthetic Data – what, why and how?
This explainer document aims to provide an overview of the current state...
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03/31/2022
Neural Q-learning for solving elliptic PDEs
Solving high-dimensional partial differential equations (PDEs) is a majo...
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02/15/2022
Estimating risks of option books using neural-SDE market models
In this paper, we examine the capacity of an arbitrage-free neural-SDE m...
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11/20/2021
Gradient-based estimation of linear Hawkes processes with general kernels
Linear multivariate Hawkes processes (MHP) are a fundamental class of po...
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06/07/2021
Identifiability in inverse reinforcement learning
Inverse reinforcement learning attempts to reconstruct the reward functi...
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05/24/2021
Arbitrage-free neural-SDE market models
Modelling joint dynamics of liquid vanilla options is crucial for arbitr...
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10/14/2020
Asymptotic Randomised Control with applications to bandits
We consider a general multi-armed bandit problem with correlated (and si...
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07/12/2019
Gittins' theorem under uncertainty
We study dynamic allocation problems for discrete time multi-armed bandi...
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07/03/2019
