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We present a novel solution method for It\^o stochastic differential equations (SDEs). We subdivide the time interval into sub-intervals, then we use the quadratic polynomials for the approximation between two successive intervals. The main…
Stochastic differential equations (SDEs) provide a flexible framework for modeling temporal dynamics in partially observed systems. A central task is to calibrate such models from data, which requires inferring latent trajectories and…
Models defined by stochastic differential equations (SDEs) allow for the representation of random variability in dynamical systems. The relevance of this class of models is growing in many applied research areas and is already a standard…
We develop a multilevel approach to compute approximate solutions to backward differential equations (BSDEs). The fully implementable algorithm of our multilevel scheme constructs sequential martingale control variates along a sequence of…
We perform an extrapolative analysis of "fast-growth" free-energy-difference (DF) estimates of a computer-modeled, fully-solvated ethane<->methanol transformation. The results suggest that extrapolation can greatly reduce the systematic…
We propose algorithms for solving high-dimensional Partial Differential Equations (PDEs) that combine a probabilistic interpretation of PDEs, through Feynman-Kac representation, with sparse interpolation. Monte-Carlo methods and…
This work aims at making a comprehensive contribution in the general area of parametric inference for discretely observed diffusion processes. Established approaches for likelihood-based estimation invoke a time-discretisation scheme for…
Numerical approximation of the long time behavior of a stochastic differential equation (SDE) is considered. Error estimates for time-averaging estimators are obtained and then used to show that the stationary behavior of the numerical…
The increasing deployment of distribution-level phasor measurement units (PMUs) calls for dynamic distribution state estimation (DDSE) approaches that tap into high-rate measurements to maintain a comprehensive view of the…
We develop the method of stochastic modified equations (SME), in which stochastic gradient algorithms are approximated in the weak sense by continuous-time stochastic differential equations. We exploit the continuous formulation together…
Inspired by the stochastic particle method, this paper establishes an easily implementable explicit numerical method for McKean-Vlasov stochastic differential equations (MV-SDEs) with superlinear growth coefficients. The paper establishes…
This manuscript is dedicated to the numerical approximation of super-linear slow-fast stochastic differential equations (SFSDEs). Borrowing the heterogeneous multiscale idea, we propose an explicit multiscale Euler-Maruyama scheme suitable…
A Milstein-type method is proposed for some highly non-linear non-autonomous time-changed stochastic differential equations (SDEs). The spatial variables in the coefficients of the time-changed SDEs satisfy the super-linear growth condition…
A probabilistic approach for estimating sample qualities for stochastic differential equations is introduced in this paper. The aim is to provide a quantitative upper bound of the distance between the invariant probability measure of a…
Stochastic Differential Equations (SDEs) are used as statistical models in many disciplines. However, intractable likelihood functions for SDEs make inference challenging, and we need to resort to simulation-based techniques to estimate and…
We study a family of numerical schemes applied to a class of multiscale systems of stochastic differential equations. When the time scale separation parameter vanishes, a well-known Smoluchowski--Kramers diffusion approximation result…
We analyze the recent Multi-index Stochastic Collocation (MISC) method for computing statistics of the solution of a partial differential equation (PDEs) with random data, where the random coefficient is parametrized by means of a countable…
Extrapolation methods use the last few iterates of an optimization algorithm to produce a better estimate of the optimum. They were shown to achieve optimal convergence rates in a deterministic setting using simple gradient iterates. Here,…
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems…
A conceptual model for microscopic-macroscopic slow-fast stochastic systems is considered. A dynamical reduction procedure is presented in order to extract effective dynamics for this kind of systems. Under appropriate assumptions, the…