Copertina

On the randomized Euler scheme for SDEs with integral-form drift

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Przybyłowicz, Paweł, Sobieraj, Michał
Natura:	Preprint
Pubblicazione:	2024
Soggetti:	Numerical Analysis Probability 65C30, 68Q25
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

A multilevel Monte Carlo algorithm for SDEs driven by countably dimensional Wiener process and Poisson random measure
di: Sobieraj, Michał
Pubblicazione: (2023)

A practical randomized trust-region method to escape saddle points in high dimension
di: Dragomir, Radu-Alexandru, et al.
Pubblicazione: (2026)

Convergence of the tamed-Euler-Maruyama method for SDEs with discontinuous and polynomially growing drift
di: Spendier, Kathrin, et al.
Pubblicazione: (2022)

On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
di: Mickel, Annalena, et al.
Pubblicazione: (2023)

A Random Integration Algorithm for High-dimensional Function Spaces
di: Chen, Liang, et al.
Pubblicazione: (2024)

An Euler scheme for McKean SDEs with Besov drift: convergence rate and implementation
di: Jaquez, Luis Mario Chaparro, et al.
Pubblicazione: (2026)

B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems
di: Arara, Alemayehu Adugna, et al.
Pubblicazione: (2023)

Strong convergence rate of Euler-Maruyama method for stochastic differential equations with Hölder continuous drift coefficient driven by symmetric $α$-stable process
di: Liu, Wei
Pubblicazione: (2019)

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

A forward scheme with machine learning for forward-backward SDEs with jumps by decoupling jumps
di: Kawai, Reiichiro, et al.
Pubblicazione: (2024)

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

Exact simulation of the first-passage time of SDEs to time-dependent thresholds
di: Khurana, Devika, et al.
Pubblicazione: (2024)

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

Convergence rate of numerical scheme for SDEs with a distributional drift in Besov space
di: Jáquez, Luis Mario Chaparro, et al.
Pubblicazione: (2023)

Monte-Carlo/Moments micro-macro Parareal method for unimodal and bimodal scalar McKean-Vlasov SDEs
di: Bossuyt, Ignace, et al.
Pubblicazione: (2023)

Dimension reduction for large-scale stochastic systems with non-zero initial states and controlled diffusion
di: Redmann, Martin
Pubblicazione: (2024)

A sharp uniform-in-time error estimate for Stochastic Gradient Langevin Dynamics
di: Li, Lei, et al.
Pubblicazione: (2022)

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

On optimal error rates for strong approximation of SDEs with a Hölder continuous drift coefficient
di: Ellinger, Simon, et al.
Pubblicazione: (2025)

Convergence and stability of randomized implicit two-stage Runge-Kutta schemes
di: Bochacik, Tomasz, et al.
Pubblicazione: (2024)

Robust Tensor CUR Decompositions: Rapid Low-Tucker-Rank Tensor Recovery with Sparse Corruption
di: Cai, HanQin, et al.
Pubblicazione: (2023)

On optimal error rates for strong approximation of SDEs with a drift coefficient of fractional Sobolev regularity
di: Ellinger, Simon, et al.
Pubblicazione: (2024)

Micro-macro Parareal, from ODEs to SDEs and back again
di: Bossuyt, Ignace, et al.
Pubblicazione: (2024)

An algorithmic approach to direct spline products: procedures and computational aspects
di: Patrizi, Francesco, et al.
Pubblicazione: (2026)

The random timestep Euler method and its continuous dynamics
di: Latz, Jonas
Pubblicazione: (2024)

Learning to Integrate
di: Ernst, Oliver G., et al.
Pubblicazione: (2025)

An adaptive framework for first-order gradient methods
di: Hu, Xiaozhe, et al.
Pubblicazione: (2026)

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

Skew-symmetric schemes for stochastic differential equations with non-Lipschitz drift: an unadjusted Barker algorithm
di: Iguchi, Yuga, et al.
Pubblicazione: (2024)

A Randomized Milstein Scheme for SDEs with Superlinear Drift Coefficient
di: Biswas, Sani
Pubblicazione: (2026)

On the complexity of quantum numerical integration: an angle-structure characterization
di: Chinesta, Francisco, et al.
Pubblicazione: (2026)

Quantum Sampling and Moment Estimation for Transformed Gaussian Random Fields
di: Deiml, Matthias, et al.
Pubblicazione: (2025)

Strong convergence rates for long-time approximations of SDEs with non-globally Lipschitz continuous coefficients
di: Wu, Xiaoming, et al.
Pubblicazione: (2024)

Model reduction for fully nonlinear stochastic systems
di: Redmann, Martin
Pubblicazione: (2025)

Superfast 1-Norm Estimation
di: Go, Soo, et al.
Pubblicazione: (2025)

Nearly Optimal Approximation of Matrix Functions by the Lanczos Method
di: Amsel, Noah, et al.
Pubblicazione: (2023)

Hybrid hierarchical matrices with adaptive mixed precision storage
di: Khan, Ritesh, et al.
Pubblicazione: (2026)

Strong convergence of a class of adaptive numerical methods for SDEs with jumps
di: Kelly, Cónall, et al.
Pubblicazione: (2023)

Low-Memory Numerical Certification
di: Breiding, Paul, et al.
Pubblicazione: (2026)

Error Distribution for One-Dimensional Stochastic Differential Equation Driven By Fractional Brownian Motion
di: Ueda, Kento
Pubblicazione: (2023)