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## An Unusally Clean Proof: Dyson Brownian Motion via Conditioning on Non-intersection

Dyson Brownian motion [Dy62] is best known to characterize the eigenvalues of special random matrices [Ta12]. Most interestingly, it is also equal in distribution to $n$ independent Brownian motions conditioned to not intersect [Gr99]. In a topics course by Bálint Virág, I came across a proof of this result that is just too clean for this type of calculations. After picking up my jaw from the ground months later, I finally decided to write up this surprisingly elegant proof.

## On Escape Time, Lyapunov Function, Poincaré Inequality, and the KLS Conjecture Beyond Convexity

Nobody has time to read an 80 page paper [LE20]. Therefore I doubt most readers realized the manifold Langevin algorithm paper actually contains a novel technique for establishing functional inequalities. And I really doubt anyone had time to interpret the intuitive consequences of such results on perturbed gradient descent, and definitely not extending the Kannan-Lovász-Simonovits (KLS) conjecture [LV18] - which brings me to write this blog post.

## The Auffinger-Chen Representation

Equivalent representation results contribute not only a connection between different concepts, but also a new set of proof techniques. Indeed, stochastic analysis has offered a number of alternative proofs to many problems. Occasionally the proof can simplify drastically. In this post, we will discuss a particularly elegant application by Auffinger and Chen (2015), for an otherwise very difficult problem in spin glass.

## Stone-Weierstrass and an Alternative Proof of Itô’s Lemma

In a similar sense to line integrals, stochastic calculus extends the classical tools to working with stochastic processes. One of the most elegant and useful result is the change of variable formula for stochastic integrals, commonly known as Itô’s Lemma (see end of this post for a discussion on Doeblin’s contribution). While this lemma is quite easy to use, the proof usually relies heavily on technical lemmas, hence difficult to develop intuition, especially for the first time reader.

## Connected by Poincaré Inequality

While studying two seemingly irrelevant subjects, probability theory and partial differential equations (PDEs), I ran into a somewhat surprising overlap: the Poincaré inequality. On one hand, it is not out of the ordinary for analysis based subjects to share inequalities such as Cauchy-Schwarz and Hölder; on the other hand, the two forms of Poincaré inequality have quite different applications.

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## Portfolio item number 2

Short description of portfolio item number 2

## Efficient and Accurate Numerical PDE Methods For Pricing Financial Derivatives

Undergraduate Thesis (2015) [Document] [Presentation] [Code]

## Collaborative Filtering For Student Grade Analysis

M.Sc. Research Project (2016) [Document] [Code]

## An Escape Time Analysis of SGD

With Philippe Casgrain, Gintare Karolina Dziugaite, Daniel Roy.
Integration of Deep Learning Theories Workshop at NeurIPS 2018.

## Riemannian Langevin Algorithm for Solving Semidefinite Programs

With Murat A. Erdogdu (2020). [arXiv]
Student Research Presentation Award at the Statistical Society of Canada (SSC) 2021 Annual Meeting.

## Higher Order Generalization Error for First Order Discretization of Langevin Diffusion

With Maxime Gazeau (2021). [arXiv]

## The Future is Log-Gaussian: ResNets and Their Infinite-Depth-and-Width Limit at Initialization

With Mihai Nica and Daniel M. Roy. [arXiv]
NeurIPS 2021.

## Talk 1 on Relevant Topic in Your Field

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## Conference Proceeding talk 3 on Relevant Topic in Your Field

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## Teaching experience 1

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## Teaching experience 2

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