Concentration inequalities for Euler schemes
convergencediffusionEuler schemelogarithmic Sobolev inequalityMonte Carlo methodsPoincaré inequalitystochastic differential equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)
- On some non asymptotic bounds for the Euler scheme
- Confidence intervals of discretized Euler-Maruyama approximate solutions of SDE's
- Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design
- Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
- The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
- Sharp non-asymptotic concentration inequalities for the approximation of the invariant distribution of a diffusion
- On stochastic mirror descent with interacting particles: convergence properties and variance reduction
- Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme
- A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations
- Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
- High-dimensional MCMC with a standard splitting scheme for the underdamped Langevin diffusion
- Intertwining and commutation relations for birth-death processes
- Self-improvement of the Bakry-Emery criterion for Poincaré inequalities and Wasserstein contraction using variable curvature bounds
- Transport-entropy inequalities and deviation estimates for stochastic approximation schemes
- Confidence intervals of discretized Euler-Maruyama approximate solutions of SDE's
- Intertwining relations for one-dimensional diffusions and application to functional inequalities
- Approximation of the invariant distribution for a class of ergodic jump diffusions
- Concentration inequalities for mean field particle models
- On some non asymptotic bounds for the Euler scheme
- \(L^2\)-Wasserstein contraction for Euler schemes of elliptic diffusions and interacting particle systems
- A statistical approach for simulating the density solution of a McKean-Vlasov equation
- On the long time behavior of the TCP window size process
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