Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations

DOI10.1007/S11222-019-09890-0zbMath1505.62159arXiv1605.01384OpenAlexW2972358848WikidataQ127292521 ScholiaQ127292521MaRDI QIDQ2302502

Mateusz B. Majka, Sebastian J. Vollmer, Lukasz Szpruch, Michael B. Giles, Konstantinos C. Zygalakis

Publication date: 26 February 2020

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.01384

zbMATH Keywords

Monte Carlo methodsnumerical analysisstochastic gradient methods

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Ensemble Approximate Control Variate Estimators: Applications to MultiFidelity Importance Sampling ⋮ Nonasymptotic bounds for sampling algorithms without log-concavity ⋮ Efficient Steady-State Simulation of High-Dimensional Stochastic Networks ⋮ (Non)-penalized multilevel methods for non-uniformly log-concave distributions ⋮ Multi-index antithetic stochastic gradient algorithm ⋮ Unnamed Item ⋮ Statistical inference for stochastic differential equations

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