Cover Image

Higher-order spring-coupled multilevel Monte Carlo method for invariant measures

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Ragunathan, Sankarasubramanian, Hoel, Håkon Andreas
Format:	Preprint
Published:	2024
Subjects:	Numerical Analysis Probability 60H10, 60H35, 65C05, 37M25
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

The multi-index Monte Carlo method for semilinear stochastic partial differential equations
by: Haji-Ali, Abdul-Lateef, et al.
Published: (2025)

Preconditioning for the high-order sampling of the invariant distribution of parabolic semilinear SPDEs
by: Bréhier, Charles-Edouard, et al.
Published: (2025)

Linear implicit approximations of invariant measures of semi-linear SDEs with non-globally Lipschitz coefficients
by: Pang, Chenxu, et al.
Published: (2023)

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

Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
by: Leimkuhler, B., et al.
Published: (2020)

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

Order-one explicit approximations of random periodic solutions of semi-linear SDEs with multiplicative noise
by: Guo, Yujia, 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)

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

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

High order integration of stochastic dynamics on Riemannian manifolds with frozen flow methods
by: Bronasco, Eugen, et al.
Published: (2025)

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

Statistical Error of Numerical Integrators for Underdamped Langevin Dynamics with Deterministic And Stochastic Gradients
by: Ye, Xuda, et al.
Published: (2024)

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

A structure-preserving scheme for computing effective diffusivity and anomalous diffusion phenomena of random flows
by: Zhang, Tan, et al.
Published: (2024)

Improving Numerical Error Bounds Near Sharp Interface Limit for Stochastic Reaction-Diffusion Equations
by: Cui, Jianbo, et al.
Published: (2024)

Strong order-one convergence of the Euler method for random ordinary differential equations driven by semi-martingale noises
by: Kloeden, Peter E., et al.
Published: (2023)

Central Limit Theorem for the $σ$-antithetic multilevel Monte Carlo method
by: Alaya, Mohamed Ben, et al.
Published: (2020)

Empirical approximation to invariant measures of non-degenerate McKean-Vlasov dynamics
by: Cao, Wenjing, et al.
Published: (2023)

Convergence of a spatial semidiscretization for a three-dimensional stochastic Allen-Cahn equation with multiplicative noise
by: Zhou, Qin, et al.
Published: (2024)

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

First-passage time for PDifMPs: an Exact simulation approach for time-varying thresholds
by: Desmettre, Sascha, et al.
Published: (2025)

Approximation of Invariant Measures for Stochastic Differential Equations with Piecewise Continuous Arguments via Backward Euler Method
by: Chen, Chuchu, et al.
Published: (2019)

Non-asymptotic Error Analysis of Explicit Modified Euler Methods for Superlinear and Non-contractive SODEs
by: Liu, Zhihui, et al.
Published: (2025)

Ergodic Estimates of One-Step Numerical Approximations for Superlinear SODEs
by: Liu, Xin, et al.
Published: (2025)

Worst-case mixing estimates for Brownian motion with semipermeable barriers
by: Van Werde, Alexander, et al.
Published: (2025)

Numerical Ergodicity of Stochastic Allen--Cahn Equation driven by Multiplicative White Noise
by: Liu, Zhihui
Published: (2024)

Numerical Approximation of Stochastic Volterra Integral Equation Using Walsh Function
by: Paikaray, Prit Pritam, et al.
Published: (2023)

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

Drift-Randomized Milstein-Galerkin Finite Element Method for Semilinear Stochastic Evolution Equations
by: Qi, Xiao, et al.
Published: (2026)

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

Perpetuities with light tails and the local dependence measure
by: Bihan, Julia Le, et al.
Published: (2025)

Projected Langevin Monte Carlo algorithms in non-convex and super-linear setting
by: Pang, Chenxu, et al.
Published: (2023)

Antithetic multilevel Monte Carlo method for approximations of SDEs with non-globally Lipschitz continuous coefficients
by: Pang, Chenxu, et al.
Published: (2023)

Deep Operator BSDE: a Numerical Scheme to Approximate Solution Operators
by: Lozano, Pere Díaz, et al.
Published: (2024)

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

Sparse grid approximation of nonlinear SPDEs: The Landau--Lifshitz--Gilbert equation
by: An, Xin, et al.
Published: (2023)

Hopf algebra structures for the backward error analysis of ergodic stochastic differential equations
by: Bronasco, Eugen, et al.
Published: (2024)

Empirical approximation to invariant measures of mean-field Langevin dynamics
by: Cao, Wenjing, et al.
Published: (2024)

Symplectic methods for stochastic Hamiltonian systems: asymptotic error distributions and Hamiltonian-specific analysis
by: Chen, Chuchu, et al.
Published: (2025)