Videos & presentations

Prob-AM on YouTube ↗

Paper	YouTube	Presentation PDFs
Hypocoercivity of Tempered Bouncy Particle Samplers for heavy-tailed targets	Part 1: Results Part 2: Ideas & proofs	Results Ideas & proofs
Diffeomorphic Markov chain Monte Carlo: fast mixing for heavy-tailed distributions	DCS algorithm	Slides
Limit Theorems for Stochastic Gradient Descent with Infinite Variance	SGD limit theorems	Slides
Central Limit Theorem for ergodic averages of Markov chains & the comparison of sampling algorithms for heavy-tailed distributions	Part 1: Theory & ULA Part 2: MCMC applications	Theory & ULA MCMC applications
Stability of storage processes with general release rates	Stability & tail bounds	Slides
Multivariate CLT for Lévy processes: convergence rates without moment assumptions	Convergence rates	Slides
Critical branching processes with immigration: scaling limits of local extinction sets	Part 1: Results Part 2: Proofs	Results Proofs
Central limit theorem for superdiffusive reflected Brownian motion	Gaussian fluctuations	Slides
Asymptotically optimal Wasserstein couplings for the small-time stable domain of attraction	Couplings & rates	Slides
Non-asymptotic bounds for forward processes in denoising diffusions: Ornstein-Uhlenbeck is hard to beat	Part 1: Setting & results Part 2: General results & proofs	Setting & results General results & proofs
Subexponential lower bounds for f-ergodic Markov processes	Part 1: Results Part 2: Proofs	Results Proofs
Superdiffusive limits for stochastic kinetics driven by self-similar drifts	Model, results & proofs	Slides
Fast exact simulation of the first-passage event of a subordinator	Part 1: Algorithm & complexity Part 2: Proofs & numerics	Algorithm & complexity Proofs & numerics
Fast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function	Part 1: Exact simulation Part 2: Monte Carlo applications	Exact simulation Monte Carlo applications
Brownian motion with asymptotically normal reflection in unbounded domains: from transience to stability	Part 1: Stability & rates Part 2: Proof ideas	Stability & rates Proof ideas
Reflecting Brownian motion in generalized parabolic domains: explosion and superdiffusivity	Part 1: Results Part 2: Proofs	Results Proofs
Hölder continuity of the convex minorant of a Lévy process	Hölder regularity	Slides
How smooth can the convex hull of a Lévy path be?	Boundary growth rates	Slides
When is the convex hull of a Lévy path smooth?	Part 1: Smoothness criteria Part 2: Further results	Shared slides
Convex minorants and the fluctuation theory of Lévy processes	Fluctuation theory & SBRT	Slides
Asymptotic shape of the concave majorant of a Lévy process	Results	Slides
Monte Carlo algorithm for the extrema of tempered stable processes	Tempered stick-breaking	Slides
Geometrically Convergent Simulation of the Extrema of Lévy Processes	Stick-breaking algorithm	Slides
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation	Gaussian approximation	Slides