Zobrazeno 1 - 10
of 48
pro vyhledávání: '"60H35, 60H10"'
An integrator for a class of stochastic Lie-Poisson systems driven by Stratonovich noise is developed. The integrator is suited for Lie-Poisson systems that also admit an isospectral formulation, which enables scalability to high-dimensional systems.
Externí odkaz:
http://arxiv.org/abs/2408.16701
Autor:
Tretyakov, M. V.
It is proposed to use stochastic differential equations with state-dependent switching rates (SDEwS) for sampling from finite mixture distributions. An Euler scheme with constant time step for SDEwS is considered. It is shown that the scheme converge
Externí odkaz:
http://arxiv.org/abs/2407.13389
We derive and analyze numerical methods for weak approximation of underdamped (kinetic) Langevin dynamics in bounded domains. First-order methods are based on an Euler-type scheme interlaced with collisions with the boundary. To achieve second order,
Externí odkaz:
http://arxiv.org/abs/2404.16584
This paper studies the numerical approximation for McKean-Vlasov stochastic differential equations driven by L\'evy processes. We propose a tamed-adaptive Euler-Maruyama scheme and consider its strong convergence in both finite and infinite time hori
Externí odkaz:
http://arxiv.org/abs/2401.03977
We study the $L^p$ rate of convergence of the Milstein scheme for SDEs when the drift coefficients possess only H\"older regularity. If the diffusion is elliptic and sufficiently regular, we obtain rates consistent with the additive case. The proof r
Externí odkaz:
http://arxiv.org/abs/2305.16004
In this paper, we consider stochastic differential equations whose drift coefficient is superlinearly growing and piece-wise continuous, and whose diffusion coefficient is superlinearly growing and locally H\"older continuous. We first prove the exis
Externí odkaz:
http://arxiv.org/abs/2305.07298
Autor:
Lê, Khoa
Stroock and Varadhan in 1997 and Geiss in 2005 independently introduced stochastic processes with bounded mean oscillation (BMO) and established their exponential integrability with some unspecified exponential constant. This result is an analogue of
Externí odkaz:
http://arxiv.org/abs/2210.15736
Autor:
Tyranowski, Tomasz M.
In this work we demonstrate that SVD-based model reduction techniques known for ordinary differential equations, such as the proper orthogonal decomposition, can be extended to stochastic differential equations in order to reduce the computational co
Externí odkaz:
http://arxiv.org/abs/2201.13391
We address the weak numerical solution of stochastic differential equations driven by independent Brownian motions (SDEs for short). This paper develops a new methodology to design adaptive strategies for determining automatically the step-sizes of t
Externí odkaz:
http://arxiv.org/abs/2006.06729
Autor:
Bencheikh, Oumaima, Jourdain, Benjamin
We are interested in the Euler-Maruyama discretization of a stochastic differential equation in dimension $d$ with constant diffusion coefficient and bounded measurable drift coefficient. In the scheme, a randomization of the time variable is used to
Externí odkaz:
http://arxiv.org/abs/2005.09354