Related papers: Functional central limit theorems for rough volati…
This article is devoted to the extension of the theory of rough paths in the context of Volterra equations with possibly singular kernels. We begin to describe a class of two parameter functions defined on the simplex called Volterra paths.…
Hamiltonian Monte Carlo (HMC) is a popular Markov chain Monte Carlo (MCMC) algorithm that generates proposals for a Metropolis-Hastings algorithm by simulating the dynamics of a Hamiltonian system. However, HMC is sensitive to large time…
We introduce forward-backward stochastic differential equations, highlighting the connection between solutions of these and solutions of partial differential equations, related by the Feynman-Kac theorem. We review the technique of…
In this paper an arbitrage strategy is constructed for the modified Black-Scholes model driven by fractional Brownian motion or by a time changed fractional Brownian motion, when the volatility is stochastic. This latter property allows the…
We study a model of rolling particles subject to stochastic fluctuations, which may be relevant in systems of nano- or micro-scale particles where rolling is an approximation for strong static friction. We consider the simplest possible…
We study statistical model checking of continuous-time stochastic hybrid systems. The challenge in applying statistical model checking to these systems is that one cannot simulate such systems exactly. We employ the multilevel Monte Carlo…
We discuss the rejection-free event-chain Monte-Carlo algorithm and several applications to dense soft matter systems. Event-chain Monte-Carlo is an alternative to standard local Markov-chain Monte-Carlo schemes, which are based on detailed…
It is commonly admitted that non-reversible Markov chain Monte Carlo (MCMC) algorithms usually yield more accurate MCMC estimators than their reversible counterparts. In this note, we show that in addition to their variance reduction…
Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the…
The basic idea of fast Monte Carlo (MC) simulations is to perform particle-based MC simulations with the excluded-volume interactions modeled by "soft" repulsive potentials that allow particle overlapping. This gives much faster system…
We present a novel Monte Carlo based LSV calibration algorithm that applies to all stochastic volatility models, including the non-Markovian rough volatility family. Our framework overcomes the limitations of the particle method proposed by…
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility variables of the SV model. First we…
By means of white noise analysis, we prove some limit theorems for nonlinear functionals of a given Volterra process. In particular, our results apply to fractional Brownian motion (fBm) and should be compared with the classical convergence…
A new computational method for finite-temperature properties of strongly correlated electrons is proposed by extending the variational Monte Carlo method originally developed for the ground state. The method is based on the path integral in…
This Ph.D. thesis explores approximations and regularity for the Heston stochastic volatility model through three interconnected works. The first work focuses on developing high-order weak approximations for the Cox-Ingersoll-Ross (CIR)…
We demonstrate the use of a variational method to determine a quantitative lower bound on the rate of convergence of Markov Chain Monte Carlo (MCMC) algorithms as a function of the target density and proposal density. The bound relies on…
The paper suggests a way of stochastic integration of random integrands with respect to fractional Brownian motion with the Hurst parameter H> 1/2. The integral is defined initially on the processes that are "piecewise" predictable on a…
In the present paper we consider the initial data, external force, viscosity coefficients, and heat conductivity coefficient as random data for the compressible Navier--Stokes--Fourier system. The Monte Carlo method, which is frequently…
In this work we introduce the Dual Boson Diagrammatic Monte Carlo technique for strongly interacting electronic systems. This method combines the strength of dynamical mean-filed theory for non-perturbative description of local correlations…
We reexamine results obtained with the recently proposed density functional theory framework based on forces (force-DFT) [Tschopp et al., Phys. Rev. E 106, 014115 (2022)]. We compare inhomogeneous density profiles for hard sphere fluids to…