Multilevel Monte Carlo method for ergodic SDEs without contractivity
From MaRDI portal
Publication:2633846
DOI10.1016/j.jmaa.2018.12.032zbMath1417.65022arXiv1803.05932OpenAlexW2963575831WikidataQ128506539 ScholiaQ128506539MaRDI QIDQ2633846
Publication date: 10 May 2019
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.05932
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items
Improved bounds for discretization of Langevin diffusions: near-optimal rates without convexity ⋮ Nonasymptotic bounds for sampling algorithms without log-concavity ⋮ A Wasserstein coupled particle filter for multilevel estimation ⋮ Adaptive importance sampling for multilevel Monte Carlo Euler method ⋮ Analysis of a Class of Multilevel Markov Chain Monte Carlo Algorithms Based on Independent Metropolis–Hastings ⋮ Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift ⋮ Importance Sampling for Pathwise Sensitivity of Stochastic Chaotic Systems ⋮ Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations
Cites Work
- Unnamed Item
- Unnamed Item
- Unbiased simulation of stochastic differential equations using parametrix expansions
- Computing ergodic limits for Langevin equations
- Coupling methods for multidimensional diffusion processes
- Exponential convergence of Langevin distributions and their discrete approximations
- Geometric ergodicity of discrete-time approximations to multivariate diffusions
- Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
- Couplings and quantitative contraction rates for Langevin dynamics
- An adaptive scheme for the approximation of dissipative systems
- Exact simulation of diffusions
- Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
- Multilevel Monte Carlo Methods
- Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
- Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations
- Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
- Multilevel Monte Carlo Path Simulation
- Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
- Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Multilevel Path Simulation for Jump-Diffusion SDEs
