The efficiency of a Markov sampler based on the underdamped Langevin diffusion is studied
for high dimensional targets with convex and smooth potentials. We consider a classical …

We present two fully probabilistic Euler schemes, one explicit and one implicit, for the
simulation of McKean–Vlasov Stochastic Differential Equations (MV-SDEs) with drifts of …

This work addresses the convergence of a split-step Euler type scheme (SSM) for the
numerical simulation of interacting particle Stochastic Differential Equation (SDE) systems …

We devise in this work a simple mechanism for constructing flows on a Banach space from
approximate flows, and show how it can be used in a simple way to reprove from scratch …

We obtain non asymptotic bounds for the Monte Carlo algorithm associated to the Euler
discretization of some diffusion processes. The key tool is the Gaussian concentration …

The TCP window size process appears in the modeling of the famous transmission control
protocol used for data transmission over the Internet. This continuous time Markov process …

We present an implicit Split-Step explicit Euler type Method (dubbed SSM) for the simulation
of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) with drifts of superlinear …

An open problem in optimization with noisy information is the computation of an exact
minimizer that is independent of the amount of noise. A standard practice in stochastic …

We show L 2-Wasserstein contraction for the transition kernel of a discretised diffusion
process, under a contractivity at infinity condition on the drift and a sufficiently high diffusivity …

We obtain non asymptotic concentration bounds for two kinds of stochastic approximations.
We first consider the deviations between the expectation of a given function of an Euler like …