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Binomial tree methods (BTM) and explicit difference schemes (EDS) for the variational inequality model of American options with time dependent coefficients are studied. When volatility is time dependent, it is not reasonable to assume that…
Recently, neuronal avalanches have been observed to display oscillations, a phenomenon regarded as the co-existence of a scale-free behaviour (the avalanches close to criticality) and scale-dependent dynamics (the oscillations). Ordinary…
In this paper we present a new way to understand the timing of branching events in phylogenetic trees. Our method explicitly considers the relative timing of diversification events between sister clades; as such it is complimentary to…
Latent variable models are an elegant framework for capturing rich probabilistic dependencies in many applications. However, current approaches typically parametrize these models using conditional probability tables, and learning relies…
Joint distributions over many variables are frequently modeled by decomposing them into products of simpler, lower-dimensional conditional distributions, such as in sparsely connected Bayesian networks. However, automatically learning such…
Estimating time-varying correlation matrices is challenging because existing methods may adapt slowly to structural changes, impose insufficient regularization, or produce diffuse posterior uncertainty. In moderate dimensions, an additional…
There has been a great deal of recent interest in learning and approximation of functions that can be expressed as expectations of a given nonlinearity with respect to its random internal parameters. Examples of such representations include…
We propose a probabilistic framework for developing computational models of biological neural systems. In this framework, physiological recordings are viewed as discrete-time partial observations of an underlying continuous-time stochastic…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
The demand for low-power inference and training of deep neural networks (DNNs) on edge devices has intensified the need for algorithms that are both scalable and energy-efficient. While spiking neural networks (SNNs) allow for efficient…
Compared to the existing function-based models in deep generative modeling, the recently proposed diffusion models have achieved outstanding performance with a stochastic-process-based approach. But a long sampling time is required for this…
In the study of Ising models on large locally tree-like graphs, in both rigorous and non-rigorous methods one is often led to understanding the so-called belief propagation distributional recursions and its fixed points. We prove that there…
We devise a distributed asynchronous stochastic epsilon-gradient-based algorithm to enable a network of computing and communicating nodes to solve a constrained discrete-time time-varying stochastic convex optimization problem. Each node…
Multivariate Time Series (MTS) forecasting plays a vital role in a wide range of applications. Recently, Spatial-Temporal Graph Neural Networks (STGNNs) have become increasingly popular MTS forecasting methods. STGNNs jointly model the…
The automatic generation of decision trees based on off-line reasoning on models of a domain is a reasonable compromise between the advantages of using a model-based approach in technical domains and the constraints imposed by embedded…
Biological neural networks are notoriously hard to model due to their stochastic behavior and high dimensionality. We tackle this problem by constructing a dynamical model of both the expectations and covariances of the fractions of active…
Given a spatio-temporal network (ST network) where edge properties vary with time, a time-sub-interval minimum spanning tree (TSMST) is a collection of minimum spanning trees of the ST network, where each tree is associated with a time…
Treatment effect estimation in continuous time is crucial for personalized medicine. However, existing methods for this task are limited to point estimates of the potential outcomes, whereas uncertainty estimates have been ignored. Needless…
Motivated by applications in systems biology, we seek a probabilistic framework based on Markov processes to represent intracellular processes. We review the formal relationships between different stochastic models referred to in the…
Consider a low temperature stochastic Ising model in the phase coexistence regime with Markov semigroup $P_t$. A fundamental and still largely open problem is the understanding of the long time behavior of $\d_\h P_t$ when the initial…