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Timothy Herschell

Publications and source records attributed to Timothy Herschell.

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Strong Stochastic Flow Maps

Flow and diffusion models generate high-quality samples in many modalities; however, many network evaluations are required during inference due to numerical integration of an underlying differential equation. Flow maps alleviate this problem by learning the solution map of the differential equation directly, enabling few-step sampling. Yet, current methods are restricted to approximating the solution map of ODEs. These methods can be used to learn the transition kernel of an SDE, thereby obtaining a solution map that recovers the marginal distributions of the process (weak convergence) rather than the solution path (strong convergence). We propose Strong Stochastic Flow Maps (SSFMs) as a novel framework for learning the strong solution map of additive-noise SDEs, directly generalizing deterministic flow maps to the stochastic setting. Further, a polynomial approximation to Brownian motion is introduced and shown to converge pathwise. These results enable a simulation-free training objective for the solution map of diffusion models. We demonstrate that SSFMs outperform previous stochastic flow map methods on image generation and enable few-step sampling of molecular systems.

cs.LG

New Constructions of Cubature Formulas on Wiener Space

Building on techniques developed by Lyons and Victoir, we present the first explicit construction of a degree-7 cubature formula for Wiener space over $\mathbb{R}^3$. We then examine and compare two approaches for computing cubature approximations: one based on the stochastic Taylor expansion and the other on the Log-ODE method. Our numerical experiments illustrate how the cubature degree influences the order of convergence and demonstrate the utility of cubature methods for weak approximations of stochastic differential equations (SDEs). These results were originally part of a Master's thesis and are provided here as context and a reference point for subsequent work. A more general construction in arbitrary dimensions has since been obtained by Ferrucci, Herschell, Litterer and Lyons arXiv:2411.13707 using different techniques.

math.NA

High-degree cubature on Wiener space through unshuffle expansions

Utilising classical results on the structure of Hopf algebras, we develop a novel approach for the construction of cubature formulae on Wiener space based on unshuffle expansions. We demonstrate the effectiveness of this approach by constructing the first explicit degree-7 cubature formula on $d$-dimensional Wiener space with drift, in the sense of Lyons and Victoir. The support of our degree-7 formula is significantly smaller than that of currently implemented or proposed constructions.

math.PR