Weighted multilevel Langevin simulation of invariant measures (Q1634175): Difference between revisions

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+On the functional central limit theorem and the law of the iterated logarithm for Markov processes
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+Q5515914
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+Sparse regression learning by aggregation and Langevin Monte-Carlo
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+Multi-level stochastic approximation algorithms
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+A decreasing step method for strongly oscillating stochastic models
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+Multilevel Monte Carlo Path Simulation
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+Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
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+Ergodic theorems. With a supplement by Antoine Brunel
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+Recursive computation of the invariant distribution of a diffusion
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+RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
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+Behavior of the Euler scheme with decreasing step in a degenerate situation
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+Multilevel Richardson-Romberg extrapolation
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+Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation
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+Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity
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+Approximation of the distribution of a stationary Markov process with application to option pricing
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+A mixed-step algorithm for the approximation of the stationary regime of a diffusion
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+Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
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+On the Poisson equation and diffusion approximation. I
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+An Iterative Monte Carlo Scheme for Generating Lie Group-Valued Random Variables
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+Optimal Scaling of Discrete Approximations to Langevin Diffusions
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+Exponential convergence of Langevin distributions and their discrete approximations
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+Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
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