Related papers: Limit theorems for compensated weighted sums and a…
In this work, we provide a fundamental unified convergence theorem used for deriving expected and almost sure convergence results for a series of stochastic optimization methods. Our unified theorem only requires to verify several…
We present two new methods for multivariate exponential analysis. In [7], we developed a new algorithm for reconstruction of univariate exponential sums by exploiting the rational structure of their Fourier coefficients and reconstructing…
A modified perturbation theory in the strength of the nonlinear term is used to solve the Nonlinear Schroedinger Equation with a random potential. It is demonstrated that in some cases it is more efficient than other methods. Moreover we…
Our main aim is to investigate the approximation properties for the summation integral type operators in a statistical sense. In this regard, we prove the statistical convergence theorem using well known Korovkin theorem and the degree of…
This paper aims to investigate the numerical approximation of semilinear non-autonomous stochastic partial differential equations (SPDEs) driven by multiplicative or additive noise. Such equations are more realistic than autonomous SPDEs…
We obtain a strong invariance principle for nonconventional sums and applying this result we derive for them a version of the law of iterated logarithm, as well as an almost sure central limit theorem. Among motivations for such results are…
We study the asymptotic properties of an estimator of Hurst parameter of a stochastic differential equation driven by a fractional Brownian motion with $H > 1/2$. Utilizing the theory of asymptotic expansion of Skorohod integrals introduced…
We establish a general framework to study the rate of convergence of a Euler type approximation scheme with decreasing time steps to the invariant measure, for a general class of stochastic systems. The error is measured in general…
We study a probabilistic numerical method for the solution of both boundary and initial value problems that returns a joint Gaussian process posterior over the solution. Such methods have concrete value in the statistics on Riemannian…
Strong approximation errors of both finite element semi-discretization and spatio-temporal full discretization are analyzed for the stochastic Allen-Cahn equation driven by additive noise in space dimension $d \leq 3$. The full…
The Stokes equations subject to non-homogeneous slip boundary conditions are considered in a smooth domain $\Omega \subset \mathbb R^N \, (N=2,3)$. We propose a finite element scheme based on the nonconforming P1/P0 approximation…
This paper deals with the Gaussian and bootstrap approximations to the distribution of the max statistic in high dimensions. This statistic takes the form of the maximum over components of the sum of independent random vectors and its…
We analyse the forward error in the floating point summation of real numbers, from algorithms that do not require recourse to higher precision or better hardware. We derive informative explicit expressions, and new deterministic and…
We study approximations to a class of vector-valued equations of Burgers type driven by a multiplicative space-time white noise. A solution theory for this class of equations has been developed recently in [Hairer, Weber, Probab. Theory…
This work proposes new estimators for discrete optimal transport plans that enjoy Gaussian limits centered at the true solution. This behavior stands in stark contrast with the performance of existing estimators, including those based on…
We show that a specific skew-symmetric form of nonlinear hyperbolic problems leads to energy and entropy bounds. Next, we exemplify by considering the compressible Euler equations in primitive variables, transform them to skew-symmetric…
We consider the implicit Euler approximation of the stochastic Cahn-Hilliard equation driven by additive Gaussian noise in a spatial domain with smooth boundary in dimension $d\le 3$. We show pathwise existence and uniqueness of solutions…
We propose a new scheme for the long time approximation of a diffusion when the drift vector field is not globally Lipschitz. Under this assumption, regular explicit Euler scheme --with constant or decreasing step-- may explode and implicit…
In this paper, we establish the existence of the solutions $ (X, L)$ of reflected stochastic differential equations with possible anticipating initial random variables. The key is to obtain some substitution formula for Stratonovich…
We produce nontrivial asymptotic estimates for shifted sums of the form $\sum a(h)b(m)c(2m-h)$, in which $a(n),b(n),c(n)$ are un-normalized Fourier coefficients of holomorphic cusp forms. These results are unconditional, but we demonstrate…