Related papers: Convergence rate to equilibrium in Wasserstein dis…

This article proposes a method to consistently estimate functionals $\frac1p\sum_{i=1}^pf(\lambda_i(C_1C_2))$ of the eigenvalues of the product of two covariance matrices $C_1,C_2\in\mathbb{R}^{p\times p}$ based on the empirical estimates…

Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a…

We study the particle method to approximate the gradient flow on the $L^p$-Wasserstein space. This method relies on the discretization of the energy introduced by [3] via nonoverlapping balls centered at the particles and preserves the…

Consider an empirical measure $\mathbb{P}_n$ induced by $n$ iid samples from a $d$-dimensional $K$-subgaussian distribution $\mathbb{P}$ and let $\gamma = N(0,\sigma^2 I_d)$ be the isotropic Gaussian measure. We study the speed of…

We study the convergence to equilibrium in high dimensions, focusing on explicit bounds on mixing times and the emergence of the cutoff phenomenon for Dyson-Laguerre processes. These are interacting particle systems with non-constant…

We study existence of probability measure valued jump-diffusions described by martingale problems. We develop a simple device that allows us to embed Wasserstein spaces and other similar spaces of probability measures into locally compact…

We consider empirical measures of $\R^{d}$-valued stochastic process in finite discrete-time. We show that the adapted empirical measure introduced in the recent work \cite{backhoff2022estimating} by Backhoff et al. in compact spaces can be…

We study the problem of estimating a sequence of evolving probability distributions from historical data, where the underlying distribution changes over time in a nonstationary and nonparametric manner. To capture gradual changes, we…

The efficiency of a Markov sampler based on the underdamped Langevin diffusion is studied for high dimensional targets with convex and smooth potentials. We consider a classical second-order integrator which requires only one gradient…

The subject of this paper is the estimation of a probability measure on ${\mathbb R}^d$ from data observed with an additive noise, under the Wasserstein metric of order $p$ (with $p\geq 1$). We assume that the distribution of the errors is…

This work focuses on stability of regime-switching diffusions consisting of continuous and discrete components, in which the discrete component switches in a countably infinite set and its switching rates at current time depend on the…

The paper characterizes uniform convergence rate for general classes of wavelet expansions of stationary Gaussian random processes. The convergence in probability is considered.

This paper provides results on Wasserstein gradient flows between measures on the real line. Utilizing the isometric embedding of the Wasserstein space $\mathcal P_2(\mathbb R)$ into the Hilbert space $L_2((0,1))$, Wasserstein gradient…

We study fluctuations of mean-field interacting particle systems around their McKean--Vlasov limit. Our main result provides a uniform-in-time quantitative central limit theorem for the fluctuation process, with convergence rate of order…

This paper establishes central limit theorems for Polyak-Ruppert averaged Q-learning under asynchronous updates. We prove a non-asymptotic central limit theorem, where the convergence rate in Wasserstein distance explicitly reflects the…

We consider the extreme value statistics of correlated random variables that arise from a Langevin equation. Recently, it was shown that the extreme values of the Ornstein-Uhlenbeck process follow a different distribution than those…

We establish quantitative comparisons between classical distances for probability distributions belonging to the class of convex probability measures. Distances include total variation distance, Wasserstein distance, Kullback-Leibler…

The entropy production rate is a central quantity in non-equilibrium statistical physics, scoring how far a stochastic process is from being time-reversible. In this paper, we compute the entropy production of diffusion processes at…

In this note we explore how standard statistical distances are equivalent for discrete log-concave distributions. Distances include total variation distance, Wasserstein distance, and $f$-divergences.

We investigate the interplay between three possible properties of stationary point processes: i) Finite Coulomb energy with short-scale regularization, ii) Finite $2$-Wasserstein transportation distance to the Lebesgue measure and iii)…