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07/24/2023
Policy Gradient Optimal Correlation Search for Variance Reduction in Monte Carlo simulation and Maximum Optimal Transport
We propose a new algorithm for variance reduction when estimating f(X_T)...
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12/22/2022
Langevin algorithms for Markovian Neural Networks and Deep Stochastic control
Stochastic Gradient Descent Langevin Dynamics (SGLD) algorithms, which a...
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09/14/2021
Performance of a Markovian neural network versus dynamic programming on a fishing control problem
Fishing quotas are unpleasant but efficient to control the productivity ...
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05/27/2021
Risk Quantization by Magnitude and Propensity
We propose a novel approach in the assessment of a random risk variable ...
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05/17/2021
Quantization-based approximation of reflected BSDEs with extended upper bounds for recursive quantization
We establish upper bounds for the L^p-quantization error, p in (1, 2+d),...
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12/28/2020
Unajusted Langevin algorithm with multiplicative noise: Total variation and Wasserstein bounds
In this paper, we focus on non-asymptotic bounds related to the Euler sc...
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10/21/2020
Optimal dual quantizers of 1D log-concave distributions: uniqueness and Lloyd like algorithm
We establish for dual quantization the counterpart of Kieffer's uniquene...
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11/20/2018