相关论文: Bridge Simulation and Metric Estimation on Lie Gro…

In including random effects to account for dependent observations, the odds ratio interpretation of logistic regression coefficients is changed from population-averaged to subject-specific. This is unappealing in many applications,…

Symmetry principles underlie and guide scientific theory and research, from Curie's invariance formulation to modern applications across physics, chemistry, and mathematics. Building on a recent matrix Lie group measurement model, this…

We obtain a representation of an inhomogeneous Levy process in a Lie group or a homogeneous space in terms of a drift, a matrix function and a measure function. Because the stochastic continuity is not assumed, our result generalizes the…

We propose a method for estimating first passage time densities of one-dimensional diffusions via Monte Carlo simulation. Our approach involves a representation of the first passage time density as expectation of a functional of the…

For a fixed flow-based generative model under a small inference budget, sample quality can depend strongly on where the sampler spends its few function evaluations. Flow matching and Schr\"odinger bridges define probability paths, yet their…

Computing sample means on Riemannian manifolds is typically computationally costly as exemplified by computation of the Fr\'echet mean which often requires finding minimizing geodesics to each data point for each step of an iterative…

Diffusion models have become the go-to method for large-scale generative models in real-world applications. These applications often involve data distributions confined within bounded domains, typically requiring ad-hoc thresholding…

Brownian simulations can be used to generate statistics relevant for studying molecular interactions or trafficking. However, the concurrent simulation of many Brownian trajectories at can become computationally intractable. Replacing…

We derive explicit formulas for probabilities of Brownian motion with jumps crossing linear or piecewise linear boundaries in any finite interval. We then use these formulas to approximate the boundary crossing probabilities for general…

As an example for the fast calculation of distributional parameters of Gaussian processes, we propose a new Monte Carlo algorithm for the computation of quantiles of the supremum norm of weighted Brownian bridges. As it is known, the…

We consider the Schr\"odinger bridge problem which, given ensemble measurements of the initial and final configurations of a stochastic dynamical system and some prior knowledge on the dynamics, aims to reconstruct the "most likely"…

Stochastic-gradient sampling methods are often used to perform Bayesian inference on neural networks. It has been observed that the methods in which notions of differential geometry are included tend to have better performances, with the…

We study the twirling semigroups of (super)operators, namely, certain quantum dynamical semigroups that are associated, in a natural way, with the pairs formed by a projective representation of a locally compact group and a convolution…

We propose and test a method to interpolate sparsely sampled signals by a stochastic process with a broad range of spatial and/or temporal scales. To this end, we extend the notion of a fractional Brownian bridge, defined as fractional…

We present a collection of explicit diffusion approximations to small temperature Schr\"{o}dinger bridges on manifolds. Our most precise results are when both marginals are the same and the Schr\"{o}dinger bridge is on a manifold with a…

The goal of this paper is to define and study a notion of fractional Brownian motion on a Lie group. We define it as at the solution of a stochastic differential equation driven by a linear fractional Brownian motion. We show that this…

Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions,…

From the classical theory of Lie algebras, it is well-known that the bilinear form $B(X,Y)={\rm tr}(XY)$ defines a non-degenerate scalar product on the simple Lie algebra ${\mathfrak{sl}}(n,{\mathbb R})$. Diagonalizing the Gram matrix $Gr$…

Barrier crossing is a widespread phenomenon across natural and engineering systems. While an abundant cross-disciplinary literature on the topic has emerged over the years, the stochastic underpinnings of the process are yet to be linked…

Starting from square-integrable wave functions on a Lie group, we build an invertible Fourier transform mapping them on wave functions on the dual of the Lie algebra. This is a group-theoretic version of the map from position space to…