Underdamped Langevin MCMC with third order convergence
Fuente:
arXiv
Saved in:
| Main Authors: | Scott, Maximilian, O'Kane, Dáire, Jelinčič, Andraž, Foster, James |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Approximating the signature of Brownian motion for high order SDE simulation
by: Foster, James
Published: (2024)
by: Foster, James
Published: (2024)
High order splitting methods for SDEs satisfying a commutativity condition
by: Foster, James, et al.
Published: (2022)
by: Foster, James, et al.
Published: (2022)
Strong convergence of the Euler scheme for singular kinetic SDEs driven by $α$-stable processes
by: Ling, Chengcheng
Published: (2024)
by: Ling, Chengcheng
Published: (2024)
Randomised Euler-Maruyama method for SDEs with Hölder continuous drift coefficient
by: Bao, Jianhai, et al.
Published: (2025)
by: Bao, Jianhai, et al.
Published: (2025)
Dimension reduction for path signatures
by: Bayer, Christian, et al.
Published: (2024)
by: Bayer, Christian, et al.
Published: (2024)
Pathwise convergence of the Euler scheme for rough and stochastic differential equations
by: Allan, Andrew L., et al.
Published: (2023)
by: Allan, Andrew L., et al.
Published: (2023)
Generative Modelling of Lévy Area for High Order SDE Simulation
by: Jelinčič, Andraž, et al.
Published: (2023)
by: Jelinčič, Andraž, et al.
Published: (2023)
Path-Dependent SDEs: Solutions and Parameter Estimation
by: Semnani, Pardis, et al.
Published: (2025)
by: Semnani, Pardis, et al.
Published: (2025)
Rough differential equations for volatility
by: Bonesini, Ofelia, et al.
Published: (2024)
by: Bonesini, Ofelia, et al.
Published: (2024)
Large deviation principle for stochastic differential equations driven by stochastic integrals
by: Takano, Ryoji
Published: (2024)
by: Takano, Ryoji
Published: (2024)
A Robbins--Monro Sequence That Can Exploit Prior Information For Faster Convergence
by: Liu, Siwei, et al.
Published: (2024)
by: Liu, Siwei, et al.
Published: (2024)
First- and Half-order Schemes for Regime Switching Stochastic Differential Equation with Non-differentiable Drift Coefficient
by: Vashistha, Divyanshu, et al.
Published: (2025)
by: Vashistha, Divyanshu, et al.
Published: (2025)
Parameter estimation for partially observed second-order diffusion processes
by: Albrecht, Jan, et al.
Published: (2024)
by: Albrecht, Jan, et al.
Published: (2024)
Singular paths spaces and applications
by: Bellingeri, Carlo, et al.
Published: (2020)
by: Bellingeri, Carlo, et al.
Published: (2020)
On explosion time in stochastic differential equations driven by fractional Brownian motion
by: Garzon, Johanna, et al.
Published: (2024)
by: Garzon, Johanna, et al.
Published: (2024)
New Perspectives on the Erlang-A Queue
by: Daw, Andrew, et al.
Published: (2017)
by: Daw, Andrew, et al.
Published: (2017)
Signature Kernel and Schwinger-Dyson Kernel Equations as Two-Parameter Rough Differential Equations
by: Cass, Thomas, et al.
Published: (2026)
by: Cass, Thomas, et al.
Published: (2026)
Parallel MCMC Algorithms: Theoretical Foundations, Algorithm Design, Case Studies
by: Glatt-Holtz, Nathan E., et al.
Published: (2022)
by: Glatt-Holtz, Nathan E., et al.
Published: (2022)
Randomised Euler-Maruyama Method for SDEs with Hölder Continuous Drift Coefficient Driven by $α$-stable Lévy Process
by: Bao, Jianhai, et al.
Published: (2025)
by: Bao, Jianhai, et al.
Published: (2025)
Kemeny's constant minimization for reversible Markov chains via structure-preserving perturbations
by: Durastante, Fabio, et al.
Published: (2025)
by: Durastante, Fabio, et al.
Published: (2025)
Kalman-Langevin dynamics : exponential convergence, particle approximation and numerical approximation
by: Ringh, Axel, et al.
Published: (2025)
by: Ringh, Axel, et al.
Published: (2025)
Canonical Rough Path over Tempered Fractional Brownian Motion: Existence, Construction, and Applications
by: Lechiheb, Atef
Published: (2025)
by: Lechiheb, Atef
Published: (2025)
On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
by: Mickel, Annalena, et al.
Published: (2023)
by: Mickel, Annalena, et al.
Published: (2023)
Stochastic nonlocal traffic flow models with Markovian noise
by: Böhme, Timo, et al.
Published: (2026)
by: Böhme, Timo, et al.
Published: (2026)
Almost sure convergence rates of adaptive increasingly rare Markov chain Monte Carlo
by: Hofstadler, Julian, et al.
Published: (2024)
by: Hofstadler, Julian, et al.
Published: (2024)
Data selection: at the interface of PDE-based inverse problem and randomized linear algebra
by: Hellmuth, Kathrin, et al.
Published: (2025)
by: Hellmuth, Kathrin, et al.
Published: (2025)
Strong convergence of finite element approximations for a fourth-order stochastic pseudo-parabolic equation with additive noise
by: Bhar, Suprio, et al.
Published: (2025)
by: Bhar, Suprio, et al.
Published: (2025)
A Class of Stochastic Runge-Kutta Methods for Stochastic Differential Equations Converging with Order 1 in $L^p$-Norm
by: Rößler, Andreas
Published: (2025)
by: Rößler, Andreas
Published: (2025)
Conditional Independence in Stationary Diffusions
by: Boege, Tobias, et al.
Published: (2024)
by: Boege, Tobias, et al.
Published: (2024)
Statistical Inference for Homogenization Limits Driven by Wiener or Hermite Processes
by: Alonso-Martin, Pablo Ramses
Published: (2026)
by: Alonso-Martin, Pablo Ramses
Published: (2026)
Error analysis for learning fractional stochastic differential equations with applications in neural approximations
by: Dehshiri, Mahdi, et al.
Published: (2026)
by: Dehshiri, Mahdi, et al.
Published: (2026)
Statistical Inference for Fractional Diffusions
by: Alonso-Martin, Pablo Ramses, et al.
Published: (2026)
by: Alonso-Martin, Pablo Ramses, et al.
Published: (2026)
Nowcasting using regression on signatures
by: Cohen, Samuel N., et al.
Published: (2023)
by: Cohen, Samuel N., et al.
Published: (2023)
Concentration analysis of multivariate elliptic diffusion processes
by: Aeckerle-Willems, Cathrine, et al.
Published: (2022)
by: Aeckerle-Willems, Cathrine, et al.
Published: (2022)
Weak convergence rates for temporal numerical approximations of stochastic wave equations with multiplicative noise
by: Cox, Sonja, et al.
Published: (2019)
by: Cox, Sonja, et al.
Published: (2019)
Strong convergence of a fully discrete scheme for stochastic Burgers equation with fractional-type noise
by: Wang, Yibo, et al.
Published: (2024)
by: Wang, Yibo, et al.
Published: (2024)
Quantitative approximation of stochastic kinetic equations: from discrete to continuum
by: Hao, Zimo, et al.
Published: (2024)
by: Hao, Zimo, et al.
Published: (2024)
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
by: Bibinger, Markus
Published: (2023)
by: Bibinger, Markus
Published: (2023)
Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations
by: Becker, Sebastian, et al.
Published: (2017)
by: Becker, Sebastian, et al.
Published: (2017)
A monotone scheme for G-equations with application to the explicit convergence rate of robust central limit theorem
by: Huang, Shuo, et al.
Published: (2019)
by: Huang, Shuo, et al.
Published: (2019)
Similar Items
-
Approximating the signature of Brownian motion for high order SDE simulation
by: Foster, James
Published: (2024) -
High order splitting methods for SDEs satisfying a commutativity condition
by: Foster, James, et al.
Published: (2022) -
Strong convergence of the Euler scheme for singular kinetic SDEs driven by $α$-stable processes
by: Ling, Chengcheng
Published: (2024) -
Randomised Euler-Maruyama method for SDEs with Hölder continuous drift coefficient
by: Bao, Jianhai, et al.
Published: (2025) -
Dimension reduction for path signatures
by: Bayer, Christian, et al.
Published: (2024)