Zobrazeno 1 - 10
of 57
pro vyhledávání: '"Reis, Gonçalo Dos"'
In this paper, we study well-posedness of random periodic solutions of stochastic differential equations (SDEs) of McKean-Vlasov type driven by a two-sided Brownian motion, where the random periodic behaviour is characterised by the equations' long-t
Externí odkaz:
http://arxiv.org/abs/2408.17242
The pre-training cost of large language models (LLMs) is prohibitive. One cutting-edge approach to reduce the cost is zero-shot weight transfer, also known as model growth for some cases, which magically transfers the weights trained in a small model
Externí odkaz:
http://arxiv.org/abs/2408.08681
We study the weak convergence behaviour of the Leimkuhler--Matthews method, a non-Markovian Euler-type scheme with the same computational cost as the Euler scheme, for the approximation of the stationary distribution of a one-dimensional McKean--Vlas
Externí odkaz:
http://arxiv.org/abs/2405.01346
We propose a novel approach to numerically approximate McKean-Vlasov stochastic differential equations (MV-SDE) using stochastic gradient descent (SGD) while avoiding the use of interacting particle systems. The technique of SGD is deployed to solve
Externí odkaz:
http://arxiv.org/abs/2310.13579
Autor:
Reis, Goncalo dos, Wilde, Zac
In this short note, we establish Malliavin differentiability of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) with drifts satisfying both a locally Lipschitz and a one-sided Lipschitz assumption, and where the diffusion coefficient is ass
Externí odkaz:
http://arxiv.org/abs/2310.13400
The complex Helmholtz equation $(\Delta + k^2)u=f$ (where $k\in{\mathbb R},u(\cdot),f(\cdot)\in{\mathbb C}$) is a mainstay of computational wave simulation. Despite its apparent simplicity, efficient numerical methods are challenging to design and, i
Externí odkaz:
http://arxiv.org/abs/2308.11469
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 polynomial form but also satisfy a certain monotonicity condition. The
Externí odkaz:
http://arxiv.org/abs/2302.05133
In most service systems, the servers are humans who desire to experience a certain level of idleness. In call centers, this manifests itself as the call avoidance behavior, where servers strategically adjust their service rate to strike a balance bet
Externí odkaz:
http://arxiv.org/abs/2211.04158
Publikováno v:
SIAM Journal on Numerical Analysis, vol. 62, no. 1, pp. 500-532, 2024
In this paper, we introduce a new simple approach to developing and establishing the convergence of splitting methods for a large class of stochastic differential equations (SDEs), including additive, diagonal and scalar noise types. The central idea
Externí odkaz:
http://arxiv.org/abs/2210.17543
Autor:
Chen, Xingyuan, Reis, Goncalo dos
We consider in this work the convergence of a split-step Euler type scheme (SSM) for the numerical simulation of interacting particle Stochastic Differential Equation (SDE) systems and McKean-Vlasov Stochastic Differential Equations (MV-SDEs) with fu
Externí odkaz:
http://arxiv.org/abs/2208.12772