Recent advances in various fields of numerical probability

DOI10.1051/PROC/201551015MaRDI QIDQ2786538zbMATH OpenOpenAlexFDO

Authors Charles-Edouard Bréhier, P. E. Chaudru de Raynal, V. Lemaire, Fabien Panloup, Christian Rey

Publication date 15 February 2016

Published in European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1051/proc/201551015

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Computational methods for problems pertaining to probability theory (60-08) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Monte Carlo methods (65C05)

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Cites work

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• Entropy and the fourth moment phenomenon
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• Nested sampling for general Bayesian computation
• Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
• Probabilistic analysis of mean-field games
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• Sequential Monte Carlo for rare event estimation
• Simulation and estimation of extreme quantiles and extreme probabilities
• Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing
• Stein's method, logarithmic Sobolev and transport inequalities
• Stochastic simulation: Algorithms and analysis
• Stopped diffusion processes: boundary corrections and overshoot
• The Euler scheme for Lévy driven stochastic differential equations
• Weak approximation of killed diffusion using Euler schemes.
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

Cited in

(1)

• A modern retrospective on probabilistic numerics

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