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06/13/2022
Convergence of Simulated Annealing Using Kinetic Langevin Dynamics
We study the simulated annealing algorithm based on the kinetic Langevin...
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07/16/2021
On the discrete-time simulation of the rough Heston model
We study Euler-type discrete-time schemes for the rough Heston model, wh...
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07/29/2020
Ergodicity of the underdamped mean-field Langevin dynamics
We study the long time behavior of an underdamped mean-field Langevin (M...
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04/01/2020