Stochastic runge-kutta accelerates langevin monte carlo and beyond
Abstract Sampling with Markov chain Monte Carlo methods typically amounts to discretizing
some continuous-time dynamics with numerical integration. In this paper, we establish the …
some continuous-time dynamics with numerical integration. In this paper, we establish the …
Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean--Vlasov SDEs and associated particle systems
X Chen, G Reis, W Stockinger - arXiv preprint arXiv:2302.05133, 2023 - arxiv.org
We study a class of McKean--Vlasov Stochastic Differential Equations (MV-SDEs) with drifts
and diffusions having super-linear growth in measure and space--the maps have general …
and diffusions having super-linear growth in measure and space--the maps have general …
Strong and weak divergence of exponential and linear-implicit Euler approximations for stochastic partial differential equations with superlinearly growing …
M Beccari, M Hutzenthaler, A Jentzen… - arXiv preprint arXiv …, 2019 - arxiv.org
The explicit Euler scheme and similar explicit approximation schemes (such as the Milstein
scheme) are known to diverge strongly and numerically weakly in the case of one …
scheme) are known to diverge strongly and numerically weakly in the case of one …
Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients
In this article, we propose two types of explicit tamed Euler–Maruyama (EM) schemes for
neutral stochastic differential delay equations with superlinearly growing drift and diffusion …
neutral stochastic differential delay equations with superlinearly growing drift and diffusion …
A higher order positivity preserving scheme for the strong approximations of a stochastic epidemic model
R Liu, X Wang - Communications in Nonlinear Science and Numerical …, 2023 - Elsevier
By combining a predictor–corrector method with a Lamperti-type transformation, we propose
a higher order, explicit, positivity preserving scheme for the stochastic susceptible-infected …
a higher order, explicit, positivity preserving scheme for the stochastic susceptible-infected …
A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations
A Hudde, M Hutzenthaler, S Mazzonetto - 2021 - projecteuclid.org
There are numerous applications of the classical (deterministic) Gronwall inequality.
Recently, Michael Scheutzow discovered a stochastic Gronwall inequality which provides …
Recently, Michael Scheutzow discovered a stochastic Gronwall inequality which provides …
[HTML][HTML] On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient
T Müller-Gronbach, L Yaroslavtseva - Journal of Complexity, 2024 - Elsevier
We survey recent developments in the field of complexity of pathwise approximation in p-th
mean of the solution of a stochastic differential equation at the final time based on finitely …
mean of the solution of a stochastic differential equation at the final time based on finitely …
Mean-square approximations of L\'{e} vy noise driven SDEs with super-linearly growing diffusion and jump coefficients
Z Chen, S Gan, X Wang - arXiv preprint arXiv:1812.03069, 2018 - arxiv.org
This paper first establishes a fundamental mean-square convergence theorem for general
one-step numerical approximations of L\'{e} vy noise driven stochastic differential equations …
one-step numerical approximations of L\'{e} vy noise driven stochastic differential equations …
An unconditional boundary and dynamics preserving scheme for the stochastic epidemic model
R Liu, X Wang, L Dai - Calcolo, 2024 - Springer
In the present article, we construct a logarithm transformation based Milstein-type method for
the stochastic susceptible-infected-susceptible (SIS) epidemic model evolving in the domain …
the stochastic susceptible-infected-susceptible (SIS) epidemic model evolving in the domain …