Related papers: Composition of stochastic B-series with applicatio…

The ternary relation $B(x,y,z)$ of betweenness states that an element $y$ is between the elements $x$ and $z$, in some sense depending on the considered structure. In a partially ordered set $(N,\leq)$, $B(x,y,z):\Longleftrightarrow…

We propose a method to infer causal structures containing both discrete and continuous variables. The idea is to select causal hypotheses for which the conditional density of every variable, given its causes, becomes smooth. We define a…

We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied volatility which is already known, we compute the first…

We provide a novel computer-assisted technique for systematically analyzing first-order methods for optimization. In contrast with previous works, the approach is particularly suited for handling sublinear convergence rates and stochastic…

Stochastic differential equations (SDEs) provide a natural framework for modelling intrinsic stochasticity inherent in many continuous-time physical processes. When such processes are observed in multiple individuals or experimental units,…

Let T be Goedel's system of primitive recursive functionals of finite type in the lambda formulation. We define by constructive means using recursion on nested multisets a multivalued function I from the set of terms of T into the set of…

In recent works on the theory of machine learning, it has been observed that heavy tail properties of Stochastic Gradient Descent (SGD) can be studied in the probabilistic framework of stochastic recursions. In particular,…

We prove an intrinsic Taylor-like formula for a class of Lie groups arising in the study of some sub-elliptic differential operators, namely the Kolmogorov operators. The estimate of the remainder is in terms of the intrinsic norm induced…

With the help of a useful mathematical tool, the polar decomposition of closed operators, and a simple observation, i.e. the unique relation between tensor-product states and compact operators, we manage to give a compact and coherent…

Recently, a remarkable correspondence has been unveiled between a certain class of ordinary linear differential equations (ODE) and integrable models. In the first part of the report, we survey the results concerning the 2nd order…

This paper proposes a new second-order symmetric algorithm for solving decoupled forward-backward stochastic differential equations. Inspired by the alternating direction implicit splitting method for partial differential equations, we…

We have determined composition series of a class of induced representations appearing in Moeglin Tadi\'c classification of discrete series. The result is further used to determine composition series of certain representations induced from…

We show that, under certain smoothness conditions, a Brownian martingale, when evaluated at a fixed time, can be represented via an exponential formula at a later time. The time-dependent generator of this exponential operator only depends…

In this paper, we propose a geometric Hamilton-Jacobi theory for systems of implicit differential equations. In particular, we are interested in implicit Hamiltonian systems, described in terms of Lagrangian submanifolds of $TT^*Q$…

This paper provides a brief history of B-series and the associated Butcher group and presents the new theory of word series and extended word series. B-series (Hairer and Wanner 1976) are formal series of functions parameterized by rooted…

We introduce a novel approach for decomposing and learning every scale of a given multiscale objective function in $\mathbb{R}^d$, where $d\ge 1$. This approach leverages a recently demonstrated implicit bias of the optimization method of…

This short note provides an explicit description of the Fr\'echet derivatives of the principal square root matrix functional at any order. We present an original formulation that allows to compute sequentially the Fr\'echet derivatives of…

This paper presents the integral(or differential) form of G-BSDEs, gives some kind of apriori estimates of their solutions, and under a very strong condition, proves the G-martingale representation theorem, and the existence and uniqueness…

Root-finding method is an iterative process that constructs a sequence converging to a solution of an equation. Householder's method is a higher-order method that requires higher order derivatives of the reciprocal of a function and has…

We study a generalized family of stochastic orders, semiparametrized by a distortion function H, namely H-distorted stochastic dominance, which may determine a continuum of dominance relations from the first- to the second-order stochastic…