Related papers: Optimal approximation of anticipating SDEs

This paper is concerned with long-time strong approximations of SDEs with non-globally Lipschitz coefficients.Under certain non-globally Lipschitz conditions, a long-time version of fundamental strong convergence theorem is established for…

We analyze a batched variant of Stochastic Gradient Descent (SGD) with weighted sampling distribution for smooth and non-smooth objective functions. We show that by distributing the batches computationally, a significant speedup in the…

Consider the approximation of stochastic Allen-Cahn-type equations (i.e. $1+1$-dimensional space-time white noise-driven stochastic PDEs with polynomial nonlinearities $F$ such that $F(\pm \infty)=\mp \infty$) by a fully discrete space-time…

Asymptotic expansion of a variation with anticipative weights is derived by the theory of asymptotic expansion for Skorohod integrals having a mixed normal limit. The expansion formula is expressed with the quasi-torsion, quasi-tangent and…

Stochastic optimization methods have been hugely successful in making large-scale optimization problems feasible when computing the full gradient is computationally prohibitive. Using the theory of modified equations for numerical…

The (asymptotic) behaviour of the second moment of solutions to stochastic differential equations is treated in mean-square stability analysis. This property is discussed for approximations of infinite-dimensional stochastic differential…

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…

This paper is dedicated to investigating the adaptive Euler-Maruyama (EM) schemes for the approximation of McKean-Vlasov stochastic differential equations (SDEs) with common noise. When the drift and diffusion coefficients both satisfy the…

Let $\tilde{N}\_{t}$ be a standard compensated Poisson process on $[0,1]$. We prove a new characterization of anticipating integrals of the Skorohod type with respect to $\tilde{N}$, and use it to obtain several counterparts to well…

The strong numerical approximation of semilinear stochastic partial differential equations (SPDEs) driven by infinite dimensional Wiener processes is investigated. There are a number of results in the literature that show that Euler-type…

We investigate the approximation of weighted integrals over $\mathbb{R}^d$ for integrands from weighted Sobolev spaces of mixed smoothness. We prove upper and lower bounds of the convergence rate of optimal quadratures with respect to $n$…

We present a comprehensive discretization scheme for linear and nonlinear stochastic differential equations (SDEs) driven by either Brownian motions or $\alpha$-stable processes. Our approach utilizes compound Poisson particle…

We deal with the problem of the mean square optimal estimation of linear transformations of the unobserved values of a continuous time stochastic process with periodically correlated increments. Estimates are based on observations of the…

In this paper, we investigate the convergence rate of the averaging principle for stochastic differential equations (SDEs) with $\beta$-H\"older drift driven by $\alpha$-stable processes. More specifically, we first derive the Schauder…

The goal of this paper is to create a fruitful bridge between the numerical methods for approximating partial differential equations (PDEs) in fluid dynamics and the (iterative) numerical methods for dealing with the resulting large linear…

Stochastic differential equations (SDEs) are increasingly used in longitudinal data analysis, compartmental models, growth modelling, and other applications in a number of disciplines. Parameter estimation, however, currently requires…

Given vectors $v_1,\dots,v_n\in\mathbb{R}^d$ and a matroid $M=([n],I)$, we study the problem of finding a basis $S$ of $M$ such that $\det(\sum_{i \in S}v_i v_i^\top)$ is maximized. This problem appears in a diverse set of areas such as…

In this paper, we propose stochastic structure-preserving schemes to compute the effective diffusivity for particles moving in random flows. We first introduce the motion of particles using the Lagrangian formulation, which is modeled by…

In this paper, we focus on the problem of stochastic optimization where the objective function can be written as an expectation function over a closed convex set. We also consider multiple expectation constraints which restrict the domain…

A new class of explicit Milstein schemes, which approximate stochastic differential equations (SDEs) with superlinearly growing drift and diffusion coefficients, is proposed in this article. It is shown, under very mild conditions, that…