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Comparison of variance of stochastic and non-stochastic integrals of the Brownian motion

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#stochastic-processes #stochastic-calculus #brownian-motion #stochastic-integrals #stochastic-approximation
41
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Application of Gram-Charlier expansion for Swaption pricing with drift extension

Published on
#finance #stochastic-integrals #stochastic-approximation
370
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Convergence of a Stochastic Process - Am I missing something obvious?

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#real-analysis #stochastic-processes #stochastic-analysis #stochastic-approximation
84
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GMM estimator for Ornstein Uhlenbeck process

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#stochastic-processes #stochastic-calculus #stochastic-approximation
900
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Proof for convergence of stochastic gradient descent to a local optimum for non convex functions

Published on
#optimization #numerical-methods #stochastic-approximation
100
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The concept of "convergence in distribution"

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#statistics #convergence-divergence #stochastic-processes #random-variables #stochastic-approximation
96
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Robbins–Monro algorithm

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#density-function #stochastic-approximation
346
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Upper bound or approximate form for the CDF of Hypo exponential random variable

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#probability #probability-theory #probability-distributions #approximation-theory #stochastic-approximation
294
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Area covered by multiple (possibly intersecting) circles on surface of sphere

Published on
#circles #spherical-geometry #geodesic #stochastic-approximation
176
Views

A basic question on stochastic gradient descent

Published on
#optimization #stochastic-approximation
150
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Maximize or find an upper bound of the function $kx^{k-1}\exp(-\mu(x^k-x))$

Published on
#calculus #probability-theory #simulation #stochastic-approximation
41
Views

Metropolis sampling for Bayesian networks

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#markov-process #sampling #bayesian-network #stochastic-approximation
61
Views

Low variance gradient for entropy of gaussian mixture cross entropy

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#optimization #statistical-inference #monte-carlo #stochastic-approximation
40
Views

Numerically integrating the same SPDE on different dimensions results in different outcomes

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#partial-differential-equations #numerical-methods #numerical-calculus #stochastic-pde #stochastic-approximation
64
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Meaning of a term in stochastic gradient descent

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#probability #statistics #measure-theory #stochastic-processes #stochastic-approximation

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