Cover Image

Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Leimkuhler, B., Sharma, A., Tretyakov, M. V.
Format:	Preprint
Published:	2020
Subjects:	Numerical Analysis Probability 60H35, 65C30, 60H10, 37H10
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Numerical integrators for confined Langevin dynamics
by: Leimkuhler, B., et al.
Published: (2024)

Sampling from mixture distributions based on regime-switching diffusions
by: Tretyakov, M. V.
Published: (2024)

Order-one explicit approximations of random periodic solutions of semi-linear SDEs with multiplicative noise
by: Guo, Yujia, et al.
Published: (2025)

Kalman-Langevin dynamics : exponential convergence, particle approximation and numerical approximation
by: Ringh, Axel, et al.
Published: (2025)

A projected Euler Method for Random Periodic Solutions of Semi-linear SDEs with non-globally Lipschitz coefficients
by: Guo, Yujia, et al.
Published: (2024)

Convergence rate for random walk approximations of mean field BSDEs
by: Djehiche, Boualem, et al.
Published: (2024)

Mean-square Stability and Bifurcations for Dissipative SDEs
by: Kelly, C., et al.
Published: (2026)

An exponential map free implicit midpoint method for stochastic Lie-Poisson systems
by: Ephrati, Sagy, et al.
Published: (2024)

An $L^0$-approach to stochastic evolution equations
by: Auestad, Øyvind Stormark
Published: (2025)

Stochastic conformal integrators for linearly damped stochastic Poisson systems
by: Bréhier, Charles-Edouard, et al.
Published: (2025)

Strong uniform Wong--Zakai approximations of Lévy-driven Marcus SDEs
by: Pavlyukevich, Ilya, et al.
Published: (2025)

First- and Half-order Schemes for Regime Switching Stochastic Differential Equation with Non-differentiable Drift Coefficient
by: Vashistha, Divyanshu, et al.
Published: (2025)

Score-based constrained generative modeling via Langevin diffusions with boundary conditions
by: Nordenhög, Adam, et al.
Published: (2025)

On the infinite time horizon approximation for Lévy-driven McKean-Vlasov SDEs with non-globally Lipschitz continuous and super-linearly growth drift and diffusion coefficients
by: Tran, Ngoc Khue, et al.
Published: (2024)

Higher-order spring-coupled multilevel Monte Carlo method for invariant measures
by: Ragunathan, Sankarasubramanian, et al.
Published: (2024)

Exponential ergodicity of some Markov dynamical system with application to a Poisson driven stochastic differential equation
by: Czapla, Dawid, et al.
Published: (2018)

Geometric Ergodicity and Strong Error Estimates for Tamed Schemes of Super-linear SODEs
by: Liu, Zhihui, et al.
Published: (2024)

Boundary-preserving Lamperti-splitting schemes for some Stochastic Differential Equations
by: Ulander, Johan
Published: (2023)

Numerical Methods for Dynamical Low-Rank Approximations of Stochastic Differential Equations -- Part I: Time discretization
by: Kazashi, Yoshihito, et al.
Published: (2026)

A probabilistic interpretation of a non-conservative and path-dependent nonlinear reaction-advection-diffusion system
by: Morale, Daniela, et al.
Published: (2024)

Bicausal optimal transport for SDEs with irregular coefficients
by: Hitz, Michaela, et al.
Published: (2024)

Randomised Euler-Maruyama method for SDEs with Hölder continuous drift coefficient
by: Bao, Jianhai, et al.
Published: (2025)

Stochastic numerical approximation for nonlinear Fokker-Planck equations with singular kernels
by: Cazacu, Nicoleta
Published: (2025)

Strong convergence of the Euler scheme for singular kinetic SDEs driven by $α$-stable processes
by: Ling, Chengcheng
Published: (2024)

Splitting methods for stochastic Hodgkin-Huxley type systems and a localized fundamental mean-square convergence theorem
by: Étoré, Pierre, et al.
Published: (2026)

Differentiating through Stochastic Differential Equations: A Primer
by: Leburu, Rishi, et al.
Published: (2026)

Long-time behavior of exact and numerical solutions of stochastic evolution equations on the sphere
by: Cohen, David, et al.
Published: (2026)

Weak convergence rates for temporal numerical approximations of stochastic wave equations with multiplicative noise
by: Cox, Sonja, et al.
Published: (2019)

Quantitative approximation of stochastic kinetic equations: from discrete to continuum
by: Hao, Zimo, et al.
Published: (2024)

Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations
by: Becker, Sebastian, et al.
Published: (2017)

Data-driven structure-preserving model reduction for stochastic Hamiltonian systems
by: Tyranowski, Tomasz M.
Published: (2022)

Dynamical Low-Rank Approximation for Stochastic Differential Equations
by: Kazashi, Yoshihito, et al.
Published: (2023)

Learning Stochastic Reduced Models from Data: A Nonintrusive Approach
by: Freitag, M. A., et al.
Published: (2024)

Long time Hurst regularity of fractional SDEs and their ergodic means
by: Haress, El Mehdi, et al.
Published: (2022)

Strong order 1 adaptive approximation of jump-diffusion SDEs with discontinuous drift
by: Schwarz, Verena
Published: (2025)

A Tail-Respecting Explicit Numerical Scheme for Lévy-Driven SDEs With Superlinear Drifts
by: Aryasova, Olga, et al.
Published: (2025)

The Milstein scheme for singular SDEs with Hölder continuous drift
by: Gerencsér, Máté, et al.
Published: (2023)

Quantitative positivity of transition densities for random perturbations of Hamiltonian systems
by: Elesaely, Shimaa, et al.
Published: (2025)

Weak Error Estimates of Ergodic Approximations for Monotone Jump-diffusion SODEs
by: Liu, Zhihui, et al.
Published: (2025)

Dimension-Uniform Discretization Analysis of Preconditioned Annealed Langevin Dynamics for Multimodal Gaussian Mixtures
by: Baldassari, Lorenzo, et al.
Published: (2026)