Related papers: Semi-implicit Euler-Maruyama approximation for non…
We consider a general interacting particle system with interactions on a random graph, and study the large population limit of this system. When the sequence of underlying graphs converges to a graphon, we show convergence of the…
We consider the numerical approximation of a general second order semi--linear parabolic stochastic partial differential equation (SPDE) driven by additive space-time noise. We introduce a new modified scheme using a linear functional of…
We prove first-order convergence of the semi-explicit Euler scheme combined with a finite element discretization in space for elliptic-parabolic problems which are weakly coupled. This setting includes poroelasticity, thermoelasticity, as…
We examine the behavior of $n$ Brownian particles diffusing on the real line with bounded, measurable drift and bounded, piecewise continuous diffusion coefficients that depend on the current configuration of particles. Sufficient…
We present an algorithm to simulate genuine, measurement-conditioned quantum trajectories for a class of non-Markovian systems, using a collision model for the environment. We derive two versions of the algorithm, the first corresponding to…
We consider a sequence of approximate solutions to the compressible Euler system admitting uniform energy bounds and/or satisfying the relevant field equations modulo an error vanishing in the asymptotic limit. We show that such a sequence…
In this paper we present the Edgeworth expansion for the Euler approximation scheme of a continuous diffusion process driven by a Brownian motion. Our methodology is based upon a recent work \cite{Yoshida2013}, which establishes Edgeworth…
Exponential integrability properties of numerical approximations are a key tool for establishing positive rates of strong and numerically weak convergence for a large class of nonlinear stochastic differential equations. It turns out that…
Bayesian inference can be embedded into an appropriately defined dynamics in the space of probability measures. In this paper, we take Brownian motion and its associated Fokker--Planck equation as a starting point for such embeddings and…
Motivated by a theorem of Barbour, we revisit some of the classical limit theorems in probability from the viewpoint of the Stein method. We setup the framework to bound Wasserstein distances between some distributions on infinite…
We establish almost sure invariance principles, a strong form of approximation by Brownian motion, for non-stationary time-series arising as observations on dynamical systems. Our examples include observations on sequential expanding maps,…
In recent work, we initiated a research program aimed at the systematic investigation of quantum superintegrable systems describing the interaction of two non-relativistic spin-$1/2$ particles in three-dimensional Euclidean space. In that…
The paper focuses on discrete-type approximations of solutions to non-homogeneous stochastic differential equations (SDEs) involving fractional Brownian motion (fBm). We prove that the rate of convergence for Euler approximations of…
Approximations of fractional Brownian motion using Poisson processes whose parameter sets have the same dimensions as the approximated processes have been studied in the literature. In this paper, a special approximation to the…
We analyze certain conservative interacting particle system and establish ergodicity of the system for a family of invariant measures. Furthermore, we show that convergence rate to equilibrium is exponential. This result is of interest…
We investigate approximation of a Bernoulli partial sum process to the accompanying Poisson process in the non-i.i.d. case. The rate of closeness is studied in terms of the minimal distance in probability.
The goal of this paper is to approximate several kinds of {\it Mckean-Vlasov SDEs} with {\it irregular coefficients} via weakly interacting particle systems. More precisely, propagation of chaos and convergence rate of Euler-Maruyama scheme…
We consider a general method for the approximation of the distribution of a process conditioned to not hit a given set. Existing methods are based on particle system that are failable, in the sense that, in many situations , they are not…
Non-colliding Brownian particles in one dimension is studied. $N$ Brownian particles start from the origin at time 0 and then they do not collide with each other until finite time $T$. We derive the determinantal expressions for the…
We analyze the microscopic model of quantum Brownian motion, describing a Brownian particle interacting with a bosonic bath through a coupling which is linear in the creation and annihilation operators of the bath, but may be a nonlinear…