Related papers: Affine pure-jump processes on positive Hilbert-Sch…
This paper investigates an iterative rank-one decomposition scheme for positive operators on a Hilbert space based on a residual-weighted congruence update. At each step the operator is compressed along a chosen unit vector while remaining…
The transition law of every exchangeable Feller process on the space of countable graphs is determined by a $\sigma$-finite measure on the space of $\{0,1\}\times\{0,1\}$-valued arrays. In discrete-time, this characterization amounts to a…
In this paper, we develop new affine-invariant algorithms for solving composite convex minimization problems with bounded domain. We present a general framework of Contracting-Point methods, which solve at each iteration an auxiliary…
A well-known It\^o formula for finite dimensional processes, given in terms of stochastic integrals with respect to Wiener processes and Poisson random measures, is revisited and is revised. The revised formula, which corresponds to the…
We consider Markov processes that alternate continuous motions and jumps in a general locally compact polish space. Starting from a mechanistic construction, a first contribution of this article is to provide conditions on the dynamics so…
We develop a natural variant of Dikin's affine-scaling method, first for semidefinite programming and then for hyperbolic programming in general. We match the best complexity bounds known for interior-point methods. All previous…
The class of affine LIBOR models is appealing since it satisfies three central requirements of interest rate modeling. It is arbitrage-free, interest rates are nonnegative and caplet and swaption prices can be calculated analytically. In…
A well-known theorem of J.E. Hutchinson states that if an iterated function system consists of similarity transformations and satisfies the open set condition then its attractor supports a self-similar measure with Hausdorff dimension equal…
We propose a method for approximating solutions to optimization problems involving the global stability properties of parameter-dependent continuous-time autonomous dynamical systems. The method relies on an approximation of the…
Consider the stochastic evolution equation in a separable Hilbert space with a nice multiplicative noise and a locally Dini continuous drift. We prove that for any initial data the equation has a unique (possibly explosive) mild solution.…
We study a one-dimensional exclusion process with a fixed jump length $I \ge 1$ in which a particle may advance or retreat $I$ sites provided all intermediate sites are vacant, with hopping rates of Arrhenius type depending on the local…
The classical Schrodinger bridge seeks the most likely probability law for a diffusion process, in path space, that matches marginals at two end points in time; the likelihood is quantified by the relative entropy between the sought law and…
We consider a class of jump-diffusion processes, constrained to a polyhedral cone $G\subset\R^n$, where the constraint vector field is constant on each face of the boundary. The constraining mechanism corrects for ``attempts'' of the…
A classical theorem of Hutchinson asserts that if an iterated function system acts on $\mathbb{R}^d$ by similitudes and satisfies the open set condition then it admits a unique self-similar measure with Hausdorff dimension equal to the…
We construct a four-parameter family of Markov processes on infinite Gelfand-Tsetlin schemes that preserve the class of central (Gibbs) measures. Any process in the family induces a Feller Markov process on the infinite-dimensional boundary…
In this paper, we introduce, in a Hilbert space setting, a second order dynamical system with asymptotically vanishing damping and vanishing Tikhonov regularization that approaches a multiobjective optimization problem with convex and…
We describe a general program for studying the dynamics of surjective endomorphisms of algebraic varieties that are amenable to techniques from the minimal model program. We obtain density results on the pre-periodic points of surjective…
The pseudo-fermion representation for $S=1/2$ quantum spins introduces unphysical states in the Hilbert space which can be projected out using the Popov-Fedotov trick. However, state-of-the-art implementation of the functional…
A conservative Feller evolution on continuous bounded functions is constructed from a weakly continuous, time-inhomogeneous transition function describing a pure jump process on a locally compact Polish space. The transition function is…
The nearest-neighbor quantum-antiferromagnetic (AF) Heisenberg model for spin 1/2 on a two-dimensional square lattice is studied in the auxiliary-fermion representation. Expressing spin operators by canonical fermionic particles requires a…