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08/31/2023
The AI Revolution: Opportunities and Challenges for the Finance Sector
This report examines Artificial Intelligence (AI) in the financial secto...
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06/20/2023
Mean-field Analysis of Generalization Errors
We propose a novel framework for exploring weak and L_2 generalization e...
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11/21/2022
A Framework for Auditable Synthetic Data Generation
Synthetic data has gained significant momentum thanks to sophisticated m...
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11/12/2022
TAPAS: a Toolbox for Adversarial Privacy Auditing of Synthetic Data
Personal data collected at scale promises to improve decision-making and...
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05/06/2022
Synthetic Data – what, why and how?
This explainer document aims to provide an overview of the current state...
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01/18/2022
Convergence of policy gradient for entropy regularized MDPs with neural network approximation in the mean-field regime
We study the global convergence of policy gradient for infinite-horizon,...
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11/01/2021
Sig-Wasserstein GANs for Time Series Generation
Synthetic data is an emerging technology that can significantly accelera...
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06/07/2021
Identifiability in inverse reinforcement learning
Inverse reinforcement learning attempts to reconstruct the reward functi...
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07/08/2020
Robust pricing and hedging via neural SDEs
Mathematical modelling is ubiquitous in the financial industry and drive...
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06/10/2020
Multi-index Antithetic Stochastic Gradient Algorithm
Stochastic Gradient Algorithms (SGAs) are ubiquitous in computational st...
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06/10/2020
Gradient Flows for Regularized Stochastic Control Problems
This work is motivated by a desire to extend the theoretical underpinnin...
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06/09/2020
Conditional Sig-Wasserstein GANs for Time Series Generation
Generative adversarial networks (GANs) have been extremely successful in...
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12/11/2019
Mean-Field Neural ODEs via Relaxed Optimal Control
We develop a framework for the analysis of deep neural networks and neur...
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09/25/2019
Iterative Multilevel density estimation for McKean-Vlasov SDEs via projections
In this paper, we present a generic methodology for the efficient numeri...
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05/19/2019
Mean-Field Langevin Dynamics and Energy Landscape of Neural Networks
We present a probabilistic analysis of the long-time behaviour of the no...
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01/16/2019
New particle representations for ergodic McKean-Vlasov SDEs
The aim of this paper is to introduce several new particle representatio...
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10/11/2018
Martingale Functional Control variates via Deep Learning
We propose black-box-type control variate for Monte Carlo simulations by...
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08/21/2018
Non-asymptotic bounds for sampling algorithms without log-concavity
Discrete time analogues of ergodic stochastic differential equations (SD...
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09/15/2016
Multilevel Monte Carlo for Scalable Bayesian Computations
Markov chain Monte Carlo (MCMC) algorithms are ubiquitous in Bayesian co...
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05/04/2016