Related papers: Dual Quantization for random walks with applicatio…
The continuous time random walk model has been widely applied in various fields, including physics, biology, chemistry, finance, social phenomena, etc. In this work, we present an algorithm that utilizes a subordinate formula to generate…
We consider minimization of a smooth nonconvex function with inexact oracle access to gradient and Hessian (without assuming access to the function value) to achieve approximate second-order optimality. A novel feature of our method is that…
This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is free of the known flaws in the current standard pricing…
We introduce an analytically treatable spin decoherence model for quantum walk on a line that yields the exact position probability distribution of an unbiased classical random walk at all-time scales. This spin decoherence model depicts a…
We develop a time domain random walk approach for conservative solute transport in heterogeneous media where medium properties vary over a distribution of length scales. The spatial transition lengths are equal to the heterogeneity length…
In this paper, we present a unified analysis of methods for such a wide class of problems as variational inequalities, which includes minimization problems and saddle point problems. We develop our analysis on the modified Extra-Gradient…
Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random waiting time between particle jumps. In finance, the particle jumps are log-returns and the waiting times measure delay between…
We propose a new quantum Monte Carlo algorithm to compute fermion ground-state properties. The ground state is projected from an initial wavefunction by a branching random walk in an over-complete basis space of Slater determinants. By…
Quantum random walks represent a powerful tool for the implementation of various quantum algorithms. We consider a convolution problem for the graphs which provide quantum and classical random walks. We suggest a new method for lattices and…
We study the rate of convergence w.r.t.~a Wasserstein type distance for random walk approximations of mean field BSDEs. Our method does not use the particle method but instead a freezing technique. We extend results by Briand, Ch. Geiss, S.…
Kemeny's constant for random walks on a graph is defined as the mean hitting time from one node to another selected randomly according to the stationary distribution. It has found numerous applications and attracted considerable research…
In this short note we provide a quantitative version of the classical Runge approximation property for second order elliptic operators. This relies on quantitative unique continuation results and duality arguments. We show that these…
We consider a system consisting of a planar random walk on a square lattice, submitted to stochastic elementary local deformations. Depending on the deformation transition rates, and specifically on a parameter $\eta$ which breaks the…
There are presently two models for quantum walks on graphs. The "coined" walk uses discrete time steps, and contains, besides the particle making the walk, a second quantum system, the coin, that determines the direction in which the…
We advance the previous studies of quantum walks on the line with two coins. Such four-state quantum walks driven by a three-direction shift operator may have nonzero stationary distributions (localization), thus distinguishing themselves…
Many Imitation and Reinforcement Learning approaches rely on the availability of expert-generated demonstrations for learning policies or value functions from data. Obtaining a reliable distribution of trajectories from motion planners is…
We consider random conductance models with long range jumps on $\Z^d$, where the one-step transition probability from $x$ to $y$ is proportional to $w_{x,y}|x-y|^{-d-\alpha}$ with $\alpha\in (0,2)$. Assume that $\{w_{x,y}\}_{(x,y)\in E}$…
We consider a random walk in i.i.d. random environment with distribution $\nu$ on Z. The problem we are interested in is to provide an estimator of the cumulative distribution function (c.d.f.) F of $\nu$ from the observation of one…
This paper investigates continuous-time quantum walks on directed bipartite graphs based on a graph's adjacency matrix. We prove that on bipartite graphs, probability transport between the two node partitions can be completely suppressed by…
High dimensional covariance estimation and graphical models is a contemporary topic in statistics and machine learning having widespread applications. An important line of research in this regard is to shrink the extreme spectrum of the…