Concentration inequalities for Euler schemes
convergencestochastic differential equationMonte Carlo methodsdiffusionEuler schemelogarithmic Sobolev inequalityPoincaré inequality
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) 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
- Intertwining and commutation relations for birth-death processes
- On some non asymptotic bounds for the Euler scheme
- Approximation of the invariant distribution for a class of ergodic jump diffusions
- Intertwining relations for one-dimensional diffusions and application to functional inequalities
- A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations
- \(L^2\)-Wasserstein contraction for Euler schemes of elliptic diffusions and interacting particle systems
- Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme
- Sharp non-asymptotic concentration inequalities for the approximation of the invariant distribution of a diffusion
- Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
- On the long time behavior of the TCP window size process
- Concentration inequalities for mean field particle models
- Self-improvement of the Bakry-Emery criterion for Poincaré inequalities and Wasserstein contraction using variable curvature bounds
- High-dimensional MCMC with a standard splitting scheme for the underdamped Langevin diffusion
- Transport-entropy inequalities and deviation estimates for stochastic approximation schemes
- On stochastic mirror descent with interacting particles: convergence properties and variance reduction
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