Related papers: Rejection Sampling for Tempered Levy Processes

We introduce a simple model for equity index derivatives. The model generalizes well known L\`evy Normal Tempered Stable processes (e.g. NIG and VG) with time dependent parameters. It accurately fits Equity index implied volatility surfaces…

Simulating from a gamma distribution with small shape parameter is a challenging problem. Towards an efficient method, we obtain a limiting distribution for a suitably normalized gamma distribution when the shape parameter tends to zero.…

We provide a novel expression of the scale function for a L\'evy processes with negative phase-type jumps. It is in terms of a certain transition rate matrix which is explicit up to a single positive number. A monotone iterative scheme for…

Diffusion models generate samples through an iterative denoising process, guided by a neural network. While training the denoiser on real-world data is computationally demanding, the sampling procedure itself is more flexible. This…

This paper studies a class of optimal multiple stopping problems driven by L\'evy processes. Our model allows for a negative effective discount rate, which arises in a number of financial applications, including stock loans and real…

The training of Support Vector Machines may be a very difficult task when dealing with very large datasets. The memory requirement and the time consumption of the SVMs algorithms grow rapidly with the increase of the data. To overcome these…

Model distillation has been a popular method for producing interpretable machine learning. It uses an interpretable "student" model to mimic the predictions made by the black box "teacher" model. However, when the student model is sensitive…

For any 0 < alpha <2, a truncated symmetric alpha-stable process is a symmetric Levy process in R^d with a Levy density given by c|x|^{-d-alpha} 1_{|x|< 1} for some constant c. In this paper we study the potential theory of truncated…

We construct a Hunt process that can be described as an isotropic $\alpha$-stable L\'evy process reflected from the complement of a bounded open Lipschitz set. In fact, we introduce a new analytic method for concatenating Markov processes.…

In this note we consider sampling from (non-homogeneous) strongly Rayleigh probability measures. As an important corollary, we obtain a fast mixing Markov Chain sampler for Determinantal Point Processes.

Classification with rejection emerges as a learning paradigm which allows models to abstain from making predictions. The predominant approach is to alter the supervised learning pipeline by augmenting typical loss functions, letting model…

In this paper we study positive self-similar Markov processes obtained by (partially) resurrecting a strictly $\alpha$-stable process at its first exit time from $(0,\infty)$. We construct those processes by using the Lamperti transform. We…

It is known that backward iterations of independent copies of a contractive random Lipschitz function converge almost surely under mild assumptions. By a sieving (or thinning) procedure based on adding to the functions time and space…

We apply a recently developed adaptive algorithm that systematically improves the efficiency of parallel tempering or replica exchange methods in the numerical simulation of small proteins. Feedback iterations allow us to identify an…

Stemming is the process of reducing related words to a standard form by removing affixes from them. Existing algorithms vary with respect to their complexity, configurability, handling of unknown words, and ability to avoid under- and…

Motivated by learning of correlated equilibria in non-cooperative games, we perform a large deviations analysis of a regret minimizing stochastic approximation algorithm. The regret minimization algorithm we consider comprises multiple…

A dynamical model based on a continuous addition of colored shot noises is presented. The resulting process is colored and non-Gaussian. A general expression for the characteristic function of the process is obtained, which, after a scaling…

We consider a L\'evy process reflected at the origin with additional i.i.d. collapses that occur at Poisson epochs, where a collapse is a jump downward to a state which is a random fraction of the state just before the jump. We first study…

We study the dynamics of parallel tempering simulations, also known as the replica exchange technique, which has become the method of choice for simulation of proteins and other complex systems. Recent results for the optimal choice of the…

When auditing a redistricting plan, a persuasive method is to compare the plan with an ensemble of neutrally drawn redistricting plans. Ensembles are generated via algorithms that sample distributions on balanced graph partitions. To audit…