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We establish a central limit theorem for (a sequence of) multivariate martingales which dimension potentially grows with the length $n$ of the martingale. A consequence of the results are Gaussian couplings and a multiplier bootstrap for…
Sequential Monte Carlo (SMC) is a methodology for sampling approximately from a sequence of probability distributions of increasing dimension and estimating their normalizing constants. We propose here an alternative methodology named…
Iterative numerical algorithms are typically equipped with a stopping criterion, where the iteration process is terminated when some error or misfit measure is deemed to be below a given tolerance. This is a useful setting for comparing…
Quantiles and expected shortfalls are usually used to measure risks of stochastic systems, which are often estimated by Monte Carlo methods. This paper focuses on the use of quasi-Monte Carlo (QMC) method, whose convergence rate is…
This paper studies the rate of convergence for conditional quasi-Monte Carlo (QMC), which is a counterpart of conditional Monte Carlo. We focus on discontinuous integrands defined on the whole of $R^d$, which can be unbounded. Under…
We show that the common local Monte Carlo rules used to simulate the motion of driven flux lines in disordered media cannot capture the interplay between elasticity and disorder which lies at the heart of these systems. We therefore discuss…
We propose a Markov chain Monte Carlo (MCMC) scheme to perform state inference in non-linear non-Gaussian state-space models. Current state-of-the-art methods to address this problem rely on particle MCMC techniques and its variants, such…
We provide verification theorems (at different levels of generality) for infinite horizon stochastic control problems in continuous time for semimartingales. The control framework is given as an abstract "martingale formulation", which…
A version of the Dynamical Systems Gradient Method for solving ill-posed nonlinear monotone operator equations is studied in this paper. A discrepancy principle is proposed and justified. A numerical experiment was carried out with the new…
We present a new method for simulating Markovian jump processes with time-dependent transitions rates, which avoids the transformation of random numbers by inverting time integrals over the rates. It relies on constructing a sequence of…
In this paper, we aim to study the asymptotic behavior for multi-scale McKean-Vlasov stochastic dynamical systems. Firstly, we obtain a central limit type theorem, i.e, the deviation between the slow component $X^{\varepsilon}$ and the…
Let $(\Omega, \A, \mu)$ be a Lebesgue space and $T$ an ergodic measure preserving automorphism on $\Omega$ with positive entropy. We show that there is a bounded and strictly stationary martingale difference sequence defined on $\Omega$…
We propose a novel sequential Monte Carlo (SMC) method for sampling from unnormalized target distributions based on a reverse denoising diffusion process. While recent diffusion-based samplers simulate the reverse diffusion using…
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…
In this paper we develop a deep learning method for optimal stopping problems which directly learns the optimal stopping rule from Monte Carlo samples. As such, it is broadly applicable in situations where the underlying randomness can…
Most of the real-time implementations of the stabilizing optimal control actions suffer from the necessity to provide high computational effort. This paper presents a cutting-edge approach for real-time evaluation of linear-quadratic model…
In this paper, we develop necessary and sufficient conditions for the validity of a martingale approximation for the partial sums of a stationary process in terms of the maximum of consecutive errors. Such an approximation is useful for…
Conditional Monte Carlo (CMC) has been widely used for sensitivity estimation with discontinuous integrands as a standard simulation technique. A major limitation of using CMC in this context is that finding conditioning variables to ensure…
The paper establishes the central limit theorems and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed for many time periods, and when estimation of a global…
Importance sampling Monte-Carlo methods are widely used for the approximation of expectations with respect to partially known probability measures. In this paper we study a deterministic version of such an estimator based on quasi-Monte…