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06/22/2023
Fitted Value Iteration Methods for Bicausal Optimal Transport
We develop a fitted value iteration (FVI) method to compute bicausal opt...
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04/26/2023
Applications of Schauder-type basis: estimating Hölder exponent, fake fractional Brownian motion
We study how to construct a stochastic process on a finite interval with...
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11/21/2022
Deep Signature Algorithm for Path-Dependent American option pricing
In this work, we study the deep signature algorithms for path-dependent ...
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09/02/2022
A PDE approach for regret bounds under partial monitoring
In this paper, we study a learning problem in which a forecaster only ob...
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02/28/2021
A Central Limit Theorem for Diffusion in Sparse Random Graphs
We consider bootstrap percolation and diffusion in sparse random graphs ...
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10/31/2020
Prediction against limited adversary
We study the problem of prediction with expert advice with adversarial c...
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03/18/2020
Malicious Experts versus the multiplicative weights algorithm in online prediction
We consider a prediction problem with two experts and a forecaster. We a...
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11/22/2019
Finite-Time 4-Expert Prediction Problem
We explicitly solve the nonlinear PDE that is the continuous limit of dy...
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03/27/2019
On the Adversarial Robustness of Multivariate Robust Estimation
In this paper, we investigate the adversarial robustness of multivariate...
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02/06/2019