Related papers: A diffusion approximation for limit order book mod…
In this paper, we consider queueing systems where the dynamics are non-stationary and state-dependent. For performance analysis of these systems, fluid and diffusion models have been typically used. Although they are proven to be…
This paper provides an elementary, self-contained analysis of diffusion-based sampling methods for generative modeling. In contrast to existing approaches that rely on continuous-time processes and then discretize, our treatment works…
We introduce the {\Delta}(i)/GI/1 queue, a new queueing model. In this model, customers from a given population independently sample a time to arrive from some given distribution F. Thus, the arrival times are an ordered statistics, and the…
Order positions are key variables in algorithmic trading. This paper studies the limiting behavior of order positions and related queues in a limit order book. In addition to the fluid and diffusion limits for the processes, fluctuations of…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
We present a higher order space-time unfitted finite element method for convection-diffusion problems on coupled (surface and bulk) domains. In that way, we combine a method suggested by Heimann, Lehrenfeld, Preu{\ss} (SIAM J. Sci. Comput.…
We investigate the approximation and estimation rates of conditional diffusion transformers (DiTs) with classifier-free guidance. We present a comprehensive analysis for ``in-context'' conditional DiTs under four common data assumptions. We…
This paper develops a quantized Q-learning algorithm for the optimal control of controlled diffusion processes on $\mathbb{R}^d$ under both discounted and ergodic (average) cost criteria. We first establish near-optimality of finite-state…
The aim of this paper is to study the recovery of a spatially dependent potential in a (sub)diffusion equation from overposed final time data. We construct a monotone operator one of whose fixed points is the unknown potential. The…
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup around the indicative price. This, in…
In this paper, we explore provable acceleration of diffusion models without any additional retraining. Focusing on the task of approximating a target data distribution in $\mathbb{R}^d$ to within $\varepsilon$ total-variation distance, we…
We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which a linear path functional of the…
We consider three equilibrium concepts proposed in the literature for time-inconsistent stopping problems, including mild equilibria, weak equilibria and strong equilibria. The discount function is assumed to be log sub-additive and the…
Diffusion models have quickly become some of the most popular and powerful generative models for high-dimensional data. The key insight that enabled their development was the realization that access to the score -- the gradient of the…
We consider semi-discrete first-order finite difference schemes for a nonlinear degenerate convection-diffusion equations in one space dimension, and prove an L1 error estimate. Precisely, we show that the L1 loc difference between the…
Diffusion models generate high-dimensional data such as images by learning a process that gradually removes noise from corrupted data. Recent studies have shown that the backward dynamics of diffusion models exhibit two characteristic…
Diffusion models have had a profound impact on many application areas, including those where data are intrinsically infinite-dimensional, such as images or time series. The standard approach is first to discretize and then to apply…
We consider a basic one-dimensional model of diffusion which allows to obtain a diversity of diffusive regimes whose speed depends on the moments of the per-site trapping time. This model is closely related to the continuous time random…
To ensure the discrete maximum principle or solution positivity in finite volume schemes, diffusive flux is sometimes discretized as a conical combination of finite differences. Such a combination may be impossible to construct along…
Discrete time, spatially extended models play an important role in ecology, modelling population dynamics of species ranging from micro-organisms to birds. An important question is how 'bottom up', individual-based models can be…