Publications

• 1. Constrained Exploration via Reflected Replica Exchange Stochastic Gradient Langevin Dynamics. 

 (With Haoyang Zheng, Hengrong Du, Wei Deng, and Guang Lin). 

The 41st International Conference on Machine Learning (ICML) Vienna, Austria. PMLR 235, 2024

• 2. Fisher information dissipation for time inhomogeneous stochastic differential equations.(2024) 

arXiv:2402.01036. (With Xinzhe Zuo and Wuchen Li)

• 3. Reflected Schrödinger Bridge for Constrained Generative Modeling. 

(With Wei Deng, Yu Chen, Nicole Tianjiao Yang, Hengrong Du, and Ricky T. Q. Chen) 

The 40th Conference on Uncertainty in Artificial Intelligence (UAI), Barcelona, Spain (Oral Presentation), 2024.

• 4. Exponential Entropy dissipation for weakly self-consistent Vlasov-Fokker-Planck equations. (2024) 

(With Erhan Bayraktar, and Wuchen Li). Journal of Nonlinear Science. 

• 5. Deep Signature algorithms for path-dependent American option pricing. (2024)

(With Erhan Bayraktar, Zhaoyu Zhang). SIAM Journal on Financial Mathematics. (To appear)

• 6. Cubature method for Stochastic Volterra Integral Equations.   (2023)

(With Jianfeng Zhang). SIAM Journal on Financial Mathematics. 

• 7. Deep signature FBSDE algorithm. (2023). 

(With Man Luo and Zhaoyu Zhang).  Numerical Algebra, Control and Optimization. Volume 13, Issue 3&4: 500-522.

• 8. Entropy dissipation for degenerate stochastic differential equations via sub-Riemannian density manifold   

 (With Wuchen Li). 

Entropy, 2023, 25, 786.  [https://doi.org/10.3390/e25050786].

• 9. Non-reversible Parallel Tempering for Uncertainty Approximation in Deep Learning. 

(Wei Deng*, Qian Zhang*, Qi Feng*, Faming Liang, Guang Lin). 

Thirty-Seventh AAAI Conference on Artificial Intelligence.  (2023)

• 10. Hypoelliptic entropy dissipation for stochastic differential equations. (2021). 

(With Wuchen  Li). arXiv: 2102:00544. 

• 11. Entropy dissipation via Information Gamma calculus: Non-reversible stochastic differential equations.. (2020)                                                                           (With Wuchen  Li).  arXiv:2011.08058.

  12. Accelerating convergence of replica exchange stochastic gradient MCMC via variance reduction. (2020). 

(Wei  Deng*,  Qi Feng*,  Georgios karagiannis, Guang Lin, Faming Liang.). 

Ninth International Conference on Learning Representations. (ICLR, 2021).   

• 13. Sub-Riemannian Ricci curvature via generalized Gamma z calculus. (2020). 

(With Wuchen  Li). arXiv: 2004.01863. 

• 14. Non-convex Learning via Replica Exchange Stochastic Gradient MCMC. (2020).

 (Wei Deng,  Qi Feng*,  Liyao Gao*,  Faming Liang ,  Guang Lin).

  37th  International Conference on Machine Learning,Vienna. (ICML, 2020).

• 15.  Taylor expansions and Castell Estimates for solutions of stochastic differential equations driven by rough paths. (2020).     

 (With Xuejing  Zhang).  Journal of Stochastic Analysis, 1(2) , 4. (2020)

• 16. Density of the signature process of fractional Brownian motion. (2020)        

(With Fabrice Baudoin and Cheng Ouyang).  Transactions of the AMS.  2020.

• 17.  Integration by parts and Quasi-invariance for the horizontal Wiener measure on a foliated compact manifold. (2019).                                                                              

(With Fabrice Baudoin, Maria Gordina).  Journal of Functional Analysis. 2019.

• 18. Systemic Risk and Optimal Fee for Central Clearing Counterparty. (2018)                 

 (With Zhenyu Cui, Ruimeng Hu, and Bin Zou).  Operations Research Letters. 

• 19. Harnack inequalities on totally geodesic foliations with transverse Ricci flow  (2017).  arXiv:1712.02275. 

  20.  A priori estimates for rough PDEs. (2017).                                                                          

 (With Samy Tindel).  Stochastic Analysis and Related Topics. pp 117-138. Progress in Probability, vol 72. Birkhäuser, Cham. 

• 21.  Log-Sobolev inequalities on the horizontal path space of a totally geodesic foliation. (2015)                                                                                                                                  

 (With Fabrice Baudoin). arXiv:1503.08180.

• 22. Curvature aware langevin dynamics for non-convex sampling. (2022)

(With Wuchen Li, Rongjie Lai). Preprint.

• 23. A Non-linear Zakai-Type Stochastic PDE for Conditional McKean-Vlasov Stochastic Systems. (2022). 

 (With Jin Ma). Preprint.

• 24. Density asymptotics for rough volatility models. (2022).

 (With Fabrice Baudoin, Cheng Ouyang). Preprint.                            

Ph.D Dissertation:  "Topics in Stochastic Analysis and Riemannian Foliations" (2018). Doctoral Dissertations. 1781.