Related papers: Euler Scheme and Tempered Distributuions
To recover the topology of a manifold in the presence of heavy tailed or exponentially decaying noise, one must understand the behavior of geometric complexes whose points lie in the tail of these noise distributions. This study advances…
In this paper, we study the class of tempered distributions whose Fourier transform is a translation bounded measure and show that each such distribution in $\mathbb{R}^d$ has order at most $2d$. We show the existence of the generalized…
In N.V. Krylov, Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies, Electron. J. Probab., 4(2), 1999, it is proved under standard assumptions that the value functions of…
Diffusion probabilistic models generate samples by learning to reverse a noise-injection process that transforms data into noise. A key development is the reformulation of the reverse sampling process as a deterministic probability flow…
Wasserstein gradient flows have become a central tool for optimization problems over probability measures. A natural numerical approach is forward-Euler time discretization. We show, however, that even in the simple case where the energy…
In this paper the running average of a subordinator with a tempered stable distribution is considered. We investigate a family of previously unexplored infinite-activity subordinators induced by the probability distribution of the running…
Convergence rate to the stationary distribution for continuous-time Markov processes can be studied using Lyapunov functions. Recent work by the author provided explicit rates of convergence in special case of a reflected jump-diffusion on…
We show, for a class of discrete Fleming-Viot (or Moran) type particle systems, that the convergence to the equilibrium is exponential for a suitable Wassertein coupling distance. The approach provides an explicit quantitative estimate on…
We discrete the ergodic semilinear stochastic partial differential equations in space dimension $d \leq 3$ with additive noise, spatially by a spectral Galerkin method and temporally by an exponential Euler scheme. It is shown that both the…
This paper is concerned with the numerical analysis of the explicit Euler scheme for ordinary differential equations with non-Lipschitz vector fields. We prove the convergence of the Euler scheme to regular lagrangian flow (Diperna-Lions…
We propose an algorithm for approximating the solution of a strongly oscillating SDE, that is, a system in which some ergodic state variables evolve quickly with respect to the other variables. The algorithm profits from homogenization…
In this paper we address the complexity of solving linear programming problems with a set of differential equations that converge to a fixed point that represents the optimal solution. Assuming a probabilistic model, where the inputs are…
This paper is focused on the approximation of the Euler equations of compressible fluid dynamics on a staggered mesh. With this aim, the flow parameters are described by the velocity, the density and the internal energy. The thermodynamic…
It is well known that the Euler method for a random ordinary differential equation $\mathrm{d}X_t/\mathrm{d}t = f(t, X_t, Y_t)$ driven by a stochastic process $\{Y_t\}_t$ with $\theta$-H\"older sample paths is estimated to be of strong…
In this paper we propose the use of $\phi$-divergences as test statistics to verify simple hypotheses about a one-dimensional parametric diffusion process $\de X_t = b(X_t, \theta)\de t + \sigma(X_t, \theta)\de W_t$, from discrete…
The problem of approximating/tracking the value of a Wiener process is considered. The discretization points are placed at times when the value of the process differs from the approximation by some amount, here denoted by eta. It is found…
We introduce a novel unit-time ordinary differential equation (ODE) flow called the preconditioned F\"{o}llmer flow, which efficiently transforms a Gaussian measure into a desired target measure at time 1. To discretize the flow, we apply…
In this paper we consider the numerical solutions for a class of jump diffusions with Markovian switching. After briefly reviewing necessary notions, a new jump-adapted efficient algorithm based on the Euler scheme is constructed for…
In this paper, we analyze the drift-implicit (or backward) Euler numerical scheme for a class of stochastic differential equations with unbounded drift driven by an arbitrary $\lambda$-H\"older continuous process, $\lambda\in(0,1)$. We…
In this work, we present numerical analysis for a distributed optimal control problem, with box constraint on the control, governed by a subdiffusion equation which involves a fractional derivative of order $\alpha\in(0,1)$ in time. The…