Cover Image

A control variate method based on polynomial approximation of Brownian path

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Garnier, Josselin, Mertz, Laurent
Format:	Preprint
Published:	2025
Subjects:	Probability Numerical Analysis
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Exponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise
by: Kamrani, Minoo, et al.
Published: (2023)

Single-seed generation of Brownian paths and integrals for adaptive and high order SDE solvers
by: Jelinčič, Andraž, et al.
Published: (2024)

Faber polynomials in a deltoid region and power iteration momentum methods
by: Cowal, Peter, et al.
Published: (2025)

Sensitivity analysis of colored noise-driven interacting particle systems
by: Garnier, Josselin, et al.
Published: (2024)

An approximation theory for Markov chain compression
by: Fornace, Mark, et al.
Published: (2025)

On the logarithmic energy of solutions to the polynomial eigenvalue problem
by: Armentano, Diego, et al.
Published: (2024)

Numerical scheme for delay-type stochastic McKean-Vlasov equations driven by fractional Brownian motion
by: Gao, Shuaibin, et al.
Published: (2024)

Convergence rate of nonlinear delayed neutral McKean-Vlasov SDEs driven by fractional Brownian motions
by: Wang, Shengrong, et al.
Published: (2024)

Multilevel-Langevin pathwise average for Gibbs approximation
by: Egéa, Maxime, et al.
Published: (2021)

On the convergence of adaptive approximations for stochastic differential equations
by: Foster, James, et al.
Published: (2023)

Strong convergence of tamed theta scheme for superlinearly growing McKean-Vlasov NSDDEs driven by fractional Brownian motions
by: Tan, Li, et al.
Published: (2024)

Particle method and quantization-based schemes for the simulation of the McKean-Vlasov equation
by: Liu, Yating
Published: (2022)

Weak approximation of stochastic differential equations with sticky boundary conditions
by: Sharma, Akash
Published: (2025)

Multilevel Picard approximations overcome the curse of dimensionality in the numerical approximation of general semilinear PDEs with gradient-dependent nonlinearities
by: Neufeld, Ariel, et al.
Published: (2023)

The law of iterated logarithm for numerical approximation of time-homogeneous Markov process
by: Chen, Chuchu, et al.
Published: (2025)

Entrywise tensor-train approximation of large tensors via random embeddings
by: Budzinskiy, Stanislav
Published: (2024)

Asymptotic-preserving approximations for stochastic incompressible viscous fluids and SPDEs on graph
by: Cui, Jianbo, et al.
Published: (2024)

Numerical approximation of the stochastic heat equation with a distributional reaction term
by: Goudenège, Ludovic, et al.
Published: (2024)

Error analysis of an acceleration corrected diffusion approximation of Langevin dynamics with background flow
by: Mori, Yoichiro, et al.
Published: (2025)

Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent
by: Agarwal, Ankush, et al.
Published: (2023)

Finite element approximations of the stochastic Benjamin-Bona-Mahony equation with multiplicative noise
by: Nguyen, Hung D., et al.
Published: (2026)

Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas
by: Gobet, Emmanuel, et al.
Published: (2024)

L2 convergence of smooth approximations of Stochastic Differential Equations with unbounded coefficients
by: Pathiraja, Sahani
Published: (2020)

Boundary-preserving weak approximation for some semilinear stochastic partial differential equations
by: Ulander, Johan
Published: (2024)

Multilevel Picard approximations for McKean-Vlasov stochastic differential equations with nonconstant diffusion
by: Neufeld, Ariel, et al.
Published: (2025)

Propagation of chaos and approximation error of random batch particle system in the mean field regime
by: Li, Lei, et al.
Published: (2025)

Numerical approximation of nonlinear fourth-order SPDEs with additive space-time white noise
by: Blömker, Dirk, et al.
Published: (2025)

Strong convergence and temporal-spatial regularity for tamed Euler approximations of Lévy-driven SDEs
by: Ding, Yan, et al.
Published: (2026)

Numerical method for approximately optimal solutions of two-stage distributionally robust optimization with marginal constraints
by: Neufeld, Ariel, et al.
Published: (2022)

Explicit numerical approximations for McKean-Vlasov stochastic differential equations in finite and infinite time
by: Cui, Yuanping, et al.
Published: (2024)

The convergence of the EM scheme in empirical approximation of invariant probability measure for McKean-Vlasov SDEs
by: Yuanping, Cui, et al.
Published: (2024)

Multilevel Picard approximation algorithm for semilinear partial integro-differential equations and its complexity analysis
by: Neufeld, Ariel, et al.
Published: (2022)

Convergence analysis for minimum action methods coupled with a finite difference method
by: Hong, Jialin, et al.
Published: (2021)

Strong convergence rates for full-discrete approximations of the stochastic Allen-Cahn equations on 2D torus
by: Ma, Ting, et al.
Published: (2024)

On the Limit of the Tridiagonal Model for $β$-Dyson Brownian Motion
by: Edelman, Alan, et al.
Published: (2024)

Numerical method for feasible and approximately optimal solutions of multi-marginal optimal transport beyond discrete measures
by: Neufeld, Ariel, et al.
Published: (2022)

Taming singular stochastic differential equations: A numerical method
by: Lê, Khoa, et al.
Published: (2021)

A quick probability-oriented introduction to operator splitting methods
by: Vovchanskyi, M. B.
Published: (2023)

Rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of gradient-dependent semilinear heat equations
by: Neufeld, Ariel, et al.
Published: (2024)

Analysis of the application of a high order symplectic method in Shardlow's method for dissipative particle dynamics
by: Amiri, Abdolreza
Published: (2025)