Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Bencheikh, Oumaima"'
Autor:
Bencheikh, Oumaima, Jourdain, Benjamin
We are interested in the approximation in Wasserstein distance with index $\rho\ge 1$ of a probability measure $\mu$ on the real line with finite moment of order $\rho$ by the empirical measure of $N$ deterministic points. The minimal error converges
Externí odkaz:
http://arxiv.org/abs/2012.09729
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
Autor:
Bencheikh, Oumaima, Jourdain, Benjamin
In this paper, we analyse the rate of convergence of a system of $N$ interacting particles with mean-field rank based interaction in the drift coefficient and constant diffusion coefficient. We first adapt arguments by Kolli and Shkolnikhov to check
Externí odkaz:
http://arxiv.org/abs/1910.11237
Autor:
Bencheikh, Oumaima, Jourdain, Benjamin
In this paper, we prove that the weak error between a stochastic differential equation with nonlinearity in the sense of McKean given by moments and its approximation by the Euler discretization with time-step h of a system of N interacting particles
Externí odkaz:
http://arxiv.org/abs/1809.06838
Autor:
Bencheikh, Oumaima, Jourdain, Benjamin
Publikováno v:
Annals of Applied Probability
Annals of Applied Probability, 2022, 32 (6), pp.4143-4185. ⟨10.1214/21-AAP1776⟩
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), In press
Annals of Applied Probability, 2022, 32 (6), pp.4143-4185. ⟨10.1214/21-AAP1776⟩
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), In press
In this paper, we analyse the rate of convergence of a system of $N$ interacting particles with mean-field rank based interaction in the drift coefficient and constant diffusion coefficient. We first adapt arguments by Kolli and Shkolnikhov to check
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::87d032f4a10ab736c93ff588aeb227b3
https://doi.org/10.1214/21-aap1776
https://doi.org/10.1214/21-aap1776
Autor:
Bencheikh, Oumaima, Jourdain, Benjamin
Publikováno v:
SIAM Journal on Numerical Analysis
SIAM Journal on Numerical Analysis, 2022, 60 (4), pp.1701-1740
SIAM Journal on Numerical Analysis, Society for Industrial and Applied Mathematics, 2022, 60 (4), pp.1701-1740
SIAM Journal on Numerical Analysis, 2022, 60 (4), pp.1701-1740
SIAM Journal on Numerical Analysis, Society for Industrial and Applied Mathematics, 2022, 60 (4), pp.1701-1740
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:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b7e8aa9d8503ad943145f0008bc8a023
https://hal-enpc.archives-ouvertes.fr/hal-02613774
https://hal-enpc.archives-ouvertes.fr/hal-02613774
Autor:
Bencheikh, Oumaima
Publikováno v:
Mathematics [math]. Université Paris-Est Marne la vallée, 2020. English
Mathematics [math]. Université Paris-Est Marne la vallée, 2020. English. ⟨NNT : ⟩
Mathematics [math]. Université Paris-Est Marne la vallée, 2020. English. ⟨NNT : ⟩
This thesis is dedicated to the theoretical and numerical study of the weak error for time and particle discretizations of some Stochastic Differential Equations non linear in the sense of McK- ean. In the first part, we address the weak error analys
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::18143ef08be3862fe4141e4136266996
https://pastel.archives-ouvertes.fr/tel-03129956/file/TH2020PESC1030.pdf
https://pastel.archives-ouvertes.fr/tel-03129956/file/TH2020PESC1030.pdf