Multilevel Monte Carlo method for ergodic SDEs without contractivity (Q2633846): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
Created claim: Wikidata QID (P12): Q128506539, #quickstatements; #temporary_batch_1725411297270
 
(5 intermediate revisions by 5 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2963575831 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1803.05932 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Unbiased simulation of stochastic differential equations using parametrix expansions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exact simulation of diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coupling methods for multidimensional diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Couplings and quantitative contraction rates for Langevin dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multilevel Monte Carlo Path Simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multilevel Monte Carlo Methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Geometric ergodicity of discrete-time approximations to multivariate diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: An adaptive scheme for the approximation of dissipative systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5429735 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computing ergodic limits for Langevin equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponential convergence of Langevin distributions and their discrete approximations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4308904 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Second-order discretization schemes of stochastic differential systems for the computation of the invariant law / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multilevel Path Simulation for Jump-Diffusion SDEs / rank
 
Normal rank
Property / Wikidata QID
 
Property / Wikidata QID: Q128506539 / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 03:07, 4 September 2024

scientific article
Language Label Description Also known as
English
Multilevel Monte Carlo method for ergodic SDEs without contractivity
scientific article

    Statements

    Multilevel Monte Carlo method for ergodic SDEs without contractivity (English)
    0 references
    0 references
    0 references
    10 May 2019
    0 references
    SDE
    0 references
    Euler-Maruyama
    0 references
    strong convergence
    0 references
    change of measure
    0 references
    invariant measure
    0 references
    MLMC
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references