Concentration inequalities for Euler schemes

zbMATH Open1097.65012MaRDI QIDQ5482376FDOQ5482376

Authors: Florent Malrieu, Denis Talay 

Publication date: 28 August 2006

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zbMATH Keywords

convergencestochastic differential equationMonte Carlo methodsdiffusionEuler schemelogarithmic Sobolev inequalityPoincaré inequality

Mathematics Subject Classification ID

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)

Cited In (13)

• Intertwining and commutation relations for birth-death processes
• 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
• Approximation of the invariant distribution for a class of ergodic jump diffusions
• High-dimensional MCMC with a standard splitting scheme for the underdamped Langevin diffusion
• Self-improvement of the Bakry-Emery criterion for Poincaré inequalities and Wasserstein contraction using variable curvature bounds
• A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations
• Concentration inequalities for mean field particle models
• On stochastic mirror descent with interacting particles: convergence properties and variance reduction
• Intertwining relations for one-dimensional diffusions and application to functional inequalities
• On the long time behavior of the TCP window size process
• \(L^2\)-Wasserstein contraction for Euler schemes of elliptic diffusions and interacting particle systems
• On some non asymptotic bounds for the Euler scheme

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