Department of Mathematics

Kakutani’s walk on spheres (WoS) has proven to improve the efficiency of Feynman-Kac formula in solving linear elliptic equations with constant coefficients in bounded domains where the geometry is ... More

We derive the short-maturity asymptotics for Asian option prices in local-stochastic volatility (LSV) models. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are considered. Using large... More

I will start by introducing a general model for multi-agent stochastic control systems. We will observe the modeling power of these systems, as well as the optimality challenges that arise from asymme... More

In this talk, we will focus on operator learning, starting with a fundamental challenge of neural operators: how to mathematically approximate an operator. Mathematical insights provide a foundation f... More

Kakutani’s walk on spheres (WoS) has proven to improve the efficiency of Feynman-Kac formula in solving linear elliptic equations with constant coefficients in bounded domains where the geometry is ... More