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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：A Sparse Expansion of (Deep) Gaussian Processes
深层 高斯过程 稀疏展开
2023/4/18
Conventional inferential methods for (deep) Gaussian Processes models can suffer from high computational complexity as they require large-scale operations with kernel matrices for training and inferen...
Closed-form expansion, conditional expectation, and option valuation
asymptotic expansion diffusion option pricing conditional expectation iterated stochastic integral
2016/1/25
Enlightened by the theory of Watanabe [Watanabe S (1987) Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels. Ann. Probab. 15:1–39] for analyzing generalized rando...