Related papers: Speeding up the Euler scheme for killed diffusions
We consider a finite element approximation for a system consisting of the evolution of a closed planar curve by forced curve shortening flow coupled to a reaction-diffusion equation on the evolving curve. The scheme for the curve evolution…
The Euler scheme is one of the standard schemes to obtain numerical approximations of stochastic differential equations (SDEs). Its convergence properties are well-known in the case of globally Lipschitz continuous coefficients. However, in…
We introduce a new approach to quantize the Euler scheme of an $\mathbb{R}^d$-valued diffusion process. This method is based on a Markovian and componentwise product quantization and allows us, from a numerical point of view, to speak of…
Score-based diffusion models have emerged as powerful tools in generative modeling, yet their theoretical foundations remain underexplored. In this work, we focus on the Wasserstein convergence analysis of score-based diffusion models.…
We investigate the strong approximation of stochastic differential equations whose drift is square-integrable in time and Dini continuous in space, while the diffusion coefficient is non-constant and uniformly elliptic. Using a refined…
The rapid advancements in high-dimensional statistics and machine learning have increased the use of first-order methods. Many of these methods can be regarded as instances of the proximal point algorithm. Given the importance of the…
We provide faster algorithms for the problem of Gaussian summation, which occurs in many machine learning methods. We develop two new extensions - an O(Dp) Taylor expansion for the Gaussian kernel with rigorous error bounds and a new error…
The 2D Euler equations are a simple but rich set of non-linear PDEs that describe the evolution of an ideal inviscid fluid, for which one dimension is negligible. Solving numerically these equations can be extremely demanding. Several…
We prove stability and convergence of a full discretization for a class of stochastic evolution equations with super-linearly growing operators appearing in the drift term. This is done using the recently developed tamed Euler method, which…
In this article we show that for SDEs with a drift coefficient that is non-locally integrable, one may define a tamed Euler scheme that converges in $L^p$ at rate $1/2$ to the true solution. The taming is required in this case since one…
The present work introduces and investigates an explicit time discretization scheme, called the projected Euler method,to numerically approximate random periodic solutions of semi-linear SDEs under non-globally Lipschitz conditions. The…
We show that, for any spatially discretized system of reaction-diffusion, the approximate solution given by the explicit Euler time-discretization scheme converges to the exact time-continuous solution, provided that diffusion coefficient…
Time discretization along with space discretization is important in the numerical simulation of subsurface flow applications for long run. In this paper, we derive theoretical convergence error estimates in discrete-time setting for…
We consider controlled differential equations and give new estimates for higher order Euler schemes. Our proofs are inspired by recent work of A. M. Davie who considers first and second order schemes. In order to implement the general case…
Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the…
Much recent interest has focused on the design of optimization algorithms from the discretization of an associated optimization flow, i.e., a system of differential equations (ODEs) whose trajectories solve an associated optimization…
A family of explicit modified Euler methods (MEMs) is constructed for long-time approximations of super-linear SODEs driven by multiplicative noise. The proposed schemes can preserve the same Lyapunov structure as the continuous problems.…
In a previous paper it was shown that the Forward Euler method applied to differential inclusions where the right-hand side is a Lipschitz continuous set-valued function with uniformly bounded, compact values, converges with rate one. The…
We obtain non asymptotic bounds for the Monte Carlo algorithm associated to the Euler discretization of some diffusion processes. The key tool is the Gaussian concentration satisfied by the density of the discretization scheme. This…
Langevin Dynamics has been extensively employed in global non-convex optimization due to the concentration of its stationary distribution around the global minimum of the potential function at low temperatures. In this paper, we propose to…