1. Davis-Kahan Theorem under a moderate gap condition
   2025/10/25 by Tran, Phuc, Vu, Van · 6 citations
   #47A55 #65C20 #68W40 #FOS: Mathematics #Numerical Analysis (math.NA) #Spectral Theory (math.SP) #Statistics Theory (math.ST)
2. Batch Sample-wise Stochastic Optimal Control via Stochastic Maximum Principle
   2025/05/05 by Sun, Hui, Bao, Feng · 1 citation
   #60H10 #60H30 #65C20 #FOS: Mathematics #Optimization and Control (math.OC)
3. Correct implied volatility shapes and reliable pricing in the rough Heston model
   2024/12/20 by Svetlana Boyarchenko, Boyarchenko, Svetlana, Sergei Levendorskiı̌ +1 · 2 citations
   Economics, Econometrics and Finance · #60-08 #60E10 #60G10 #60G22 #65C20 #65D30 #65G20 #91G20 #91G60 #Computational Finance (q-fin.CP) #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications
4. Pricing and calibration in the 4-factor path-dependent volatility model
   2024/06/04 by Gazzani, Guido, Guyon, Julien · 3 citations
   #65C20 #91B70 #91G20 #91G30 #91G60 #Computational Finance (q-fin.CP) #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR)
5. Almost sure convergence rates of adaptive increasingly rare Markov chain Monte Carlo
   2024/02/19 by Hofstadler, Julian, Latuszynski, Krzysztof, Roberts, Gareth O. +1 · 1 citation
   #60J22 #65C05 #65C20 #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR) #Statistics Theory (math.ST)
6. Set-valued expectiles for ordered data analysis
   2023/12/15 by Linh, Ha Thi Khanh, Hamel, Andreas H · 1 citation
   #62H05 #65C20 #91G70 #FOS: Mathematics #Statistics Theory (math.ST)
7. On the mean field theory of Ensemble Kalman filters for SPDEs
   2023/06/29 by Sebastian Ertel, Ertel, Sebastian · 1 citation
   Earth and Planetary Sciences · Environmental Science · #60G35 #65C20 #93E11 #Climate variability and models #FOS: Mathematics #Meteorological Phenomena and Simulations #Probability (math.PR)
8. Uniform in time convergence of numerical schemes for stochastic differential equations via Strong Exponential stability: Euler methods, Split-Step and Tamed Schemes
   2023/03/23 by Angeli, Letizia, Crisan, Dan, Ottobre, Michela · 2 citations
   #47D07 #60H10 #60J60 #65C20 #65C30 #65G99 #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR)
9. On the numerical approximation of Blaschke-Santaló diagrams using Centroidal Voronoi Tessellations
   2023/02/01 by Bogosel, Beniamin, Buttazzo, Giuseppe, Oudet, Edouard · 2 citations
   #49M20 #49Q10 #52B35 #65C05 #65C20 #FOS: Mathematics #Numerical Analysis (math.NA)
10. Joint calibration to SPX and VIX options with signature-based models
    2023/01/30 by Christa Cuchiero, Guido Gazzani, Cuchiero, Christa +5 · 8 citations
    Economics, Econometrics and Finance · #62P05 #65C20 #91B70 #Capital Investment and Risk Analysis #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications
11. Deep learning numerical methods for high-dimensional fully nonlinear PIDEs and coupled FBSDEs with jumps
    2023/01/30 by Wang, Wansheng, Wang, Jie, Li, Jinping +2 · 2 citations
    #60H10 #60H35 #65C20 #65C30 #65M15 #65M75 #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Numerical Analysis (math.NA)
12. Stable rank-adaptive Dynamically Orthogonal Runge-Kutta schemes
    2022/11/15 by Charous, Aaron, Lermusiaux, Pierre F. J. · 1 citation
    #15A23 #35R60 #53A07 #53B21 #54C15 #57Z05 #57Z20 #57Z25 #60G60 #65C20 #65C30 #65F55 #65M12 #65M22 #81S22 #94A08 #Computation (stat.CO) #Computational Engineering #Dynamical Systems (math.DS) #FOS: Computer and information sciences #FOS: Mathematics #Finance #G.1.2 #G.1.3 #G.1.8 #Numerical Analysis (math.NA) #and Science (cs.CE)
13. The Helmholtz equation with uncertainties in the wavenumber
    2022/09/29 by Roland Pulch, Olivier Sète, Pulch, Roland +1 · 1 citation
    Computer Science · Decision Sciences · Physics and Astronomy · #35R60 #65C20 #65N30 #Electromagnetic Scattering and Analysis #FOS: Mathematics #Matrix Theory and Algorithms #Numerical Analysis (math.NA) #Probabilistic and Robust Engineering Design
14. Signature-based models: theory and calibration
    2022/07/26 by Christa Cuchiero, Guido Gazzani, Cuchiero, Christa +3 · 11 citations
    Economics, Econometrics and Finance · Engineering · #62P05 #65C20 #91B70 #Capital Investment and Risk Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Reservoir Engineering and Simulation Methods #Stochastic processes and financial applications
15. A sharp uniform-in-time error estimate for Stochastic Gradient Langevin Dynamics
    2022/07/19 by Lei Li, Yuliang Wang, Li, Lei +1 · 3 citations
    Computer Science · Engineering · Mathematics · #60H30 #65C20 #68Q25 #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Markov Chains and Monte Carlo Methods #Probability (math.PR) #Sparse and Compressive Sensing Techniques #Stochastic Gradient Optimization Techniques
16. Robust Group Synchronization via Quadratic Programming
    2022/06/17 by Shi, Yunpeng, Wyeth, Cole, Lerman, Gilad · 1 citation
    #60-08 #65C20 #68Q87 #90-08 #90C17 #90C26 #Computer Vision and Pattern Recognition (cs.CV) #FOS: Computer and information sciences #FOS: Mathematics #G.1.6 #I.4.0 #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Numerical Analysis (math.NA)
17. Error Analysis of Time-Discrete Random Batch Method for Interacting Particle Systems and Associated Mean-Field Limits
    2022/06/05 by Ye, Xuda, Zhou, Zhennan · 1 citation
    #37M05 #65C20 #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR)
18. Randomized quasi-optimal local approximation spaces in time
    2022/03/11 by Schleuß, Julia, Smetana, Kathrin, ter Maat, Lukas · 1 citation
    #65C20 #65M12 #65M15 #65M55 #65M60 #65M75 #FOS: Mathematics #Numerical Analysis (math.NA)
19. slimTrain -- A Stochastic Approximation Method for Training Separable Deep Neural Networks
    2021/09/28 by Newman, Elizabeth, Chung, Julianne, Chung, Matthias +1 · 1 citation
    #65C20 #65K99 #68T07 #FOS: Computer and information sciences #FOS: Mathematics #G.1.6 #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Numerical Analysis (math.NA)
20. Machine learning-based conditional mean filter: a generalization of the ensemble Kalman filter for nonlinear data assimilation
    2021/06/15 by Truong‐Vinh Hoang, Sebastian Krumscheid, Hoang, Truong-Vinh +5 · 1 citation
    Earth and Planetary Sciences · Environmental Science · #62M20 #62M45 #65C20 #86-08 #Climate variability and models #Computation (stat.CO) #FOS: Computer and information sciences #FOS: Mathematics #Hydrology and Drought Analysis #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Meteorological Phenomena and Simulations #Numerical Analysis (math.NA)
21. Convexification inversion method for nonlinear SAR imaging with experimentally collected data
    2021/03/17 by Klibanov, M. V., Khoa, V. A., Smirnov, A. V. +4 · 1 citation
    #65C20 #65L70 #78A46 #FOS: Mathematics #Numerical Analysis (math.NA)
22. Probabilistic Learning on Manifolds (PLoM) with Partition
    2021/02/22 by Soize, Christian, Ghanem, Roger · 1 citation
    #60E05 #62H10 #62P35 #65C20 #68Q32 #FOS: Computer and information sciences #Methodology (stat.ME)
23. An Efficient Numerical Method for Forward-Backward Stochastic Differential Equations Driven by G-Brownian motion
    2020/10/01 by Hu, Mingshang, Jiang, Lianzi · 1 citation
    #60H10 #60H35 #65C20 #FOS: Mathematics #Numerical Analysis (math.NA)
24. Truncation preconditioners for stochastic Galerkin finite element discretizations
    2020/06/11 by Bespalov, Alex, Loghin, Daniel, Youngnoi, Rawin · 1 citation
    #35R60 #65C20 #65F08 #65F10 #65N22 #65N30 #FOS: Mathematics #Numerical Analysis (math.NA)
25. An inverse problem of a simultaneous reconstruction of the dielectric constant and conductivity from experimental backscattering data
    2020/05/29 by Khoa, Vo Anh, Bidney, Grant W., Klibanov, Michael V. +4 · 2 citations
    #65C20 #65L70 #78A46 #FOS: Mathematics #Numerical Analysis (math.NA) #Optimization and Control (math.OC)
26. On the mean field limit of the Random Batch Method for interacting particle systems
    2020/05/24 by Shi Jin, Jin, Shi, Lei Li +1 · 2 citations
    Mathematics · Physics and Astronomy · #34F05 #35K55 #65C20 #Analysis of PDEs (math.AP) #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR) #Statistical Mechanics and Entropy #Stochastic processes and statistical mechanics #Theoretical and Computational Physics
27. Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems
    2020/05/03 by Jianhai Bao, Bao, Jianhai, Christoph Reisinger +5 · 3 citations
    Economics, Econometrics and Finance · Mathematics · #60H30 #65C20 #65C30 #65C35 #FOS: Mathematics #Gas Dynamics and Kinetic Theory #Markov Chains and Monte Carlo Methods #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications
28. Convergence of Random Batch Method for interacting particles with disparate species and weights
    2020/03/25 by Jin, Shi, Li, Lei, Liu, Jian-Guo · 3 citations
    #37M05 #65C20 #FOS: Mathematics #Numerical Analysis (math.NA)
29. Convexification numerical algorithm for a 2D inverse scattering problem\n with backscatter data
    2020/02/19 by Trung Truong, Dinh-Liem Nguyen, Truong, Trung +3 · 1 citation
    Engineering · Mathematics · Medicine · #35R30 #65C20 #78A46 #FOS: Mathematics #Medical Imaging Techniques and Applications #Microwave Imaging and Scattering Analysis #Numerical Analysis (math.NA) #Numerical methods in inverse problems
30. Uniform in time estimates for the weak error of the Euler method for SDEs and a Pathwise Approach to Derivative Estimates for Diffusion Semigroups
    2019/05/09 by Dan Crisan, Crisan, D., Paul Dobson +3 · 3 citations
    Economics, Econometrics and Finance · Mathematics · #47D07 #60H10 #60J60 #65C20 #65C30 #65G99 #Differential Equations and Numerical Methods #FOS: Mathematics #Mathematical Biology Tumor Growth #Probability (math.PR) #Stochastic processes and financial applications

more