Related papers: Numerical Integration of stochastic differential e…
Scientific machine learning is an emerging field that broadly describes the combination of scientific computing and machine learning to address challenges in science and engineering. Within the context of differential equations, this has…
We study the convergence rates of the semi-discrete (SD) method originally proposed in Halidias (2012), Semi-discrete approximations for stochastic differential equations and applications, International Journal of Computer Mathematics,…
Neural Stochastic Differential Equations (Neural SDEs) have emerged as powerful mesh-free generative models for continuous stochastic processes, with critical applications in fields such as finance, physics, and biology. Previous…
Fast and accurate simulation of dynamical systems is a fundamental challenge across scientific and engineering domains. Traditional numerical integrators often face a trade-off between accuracy and computational efficiency, while existing…
This paper presents classical benchmark simulations of a practical hybrid decoding scheme for parity-encoded spin systems, which is well-suited to the development of quantum annealing devices based on on-chip superconducting technology. We…
In this article, we introduce an original hybrid quantum-classical algorithm based on a variational quantum algorithm for solving systems of differential equations. The algorithm relies on a spectral decomposition of the trial functions…
Recently, in a paper by Jentzen and Kloeden [Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci. 465 (2009) 649-667], a new method for simulating nearly linear stochastic partial differential equations (SPDEs) with additive noise has been…
By a high-order numerical homogenization method, a heterogeneous multiscale scheme was developed in Jin & Li (2022) for evolving differential equations containing two time scales. In this paper, we further explore the technique to propose…
The interpretation of numerical methods, such as finite difference methods for differential equations, as point estimators suggests that formal uncertainty quantification can also be performed in this context. Competing statistical…
We introduce a predictor-corrector discretisation scheme for the numerical integration of a class of stochastic differential equations and prove that it converges with weak order 1.0. The key feature of the new scheme is that it builds up…
Probabilistic ordinary differential equation (ODE) solvers have been introduced over the past decade as uncertainty-aware numerical integrators. They typically proceed by assuming a functional prior to the ODE solution, which is then…
We study the design and implementation of numerical methods to solve the generalized Langevin equation (GLE) focusing on canonical sampling properties of numerical integrators. For this purpose, we cast the GLE in an extended phase space…
Stochastic discriminative EM (sdEM) is an online-EM-type algorithm for discriminative training of probabilistic generative models belonging to the exponential family. In this work, we introduce and justify this algorithm as a stochastic…
For Kolmogorov equations associated to finite dimensional stochastic differential equations (SDEs) in high dimension, a numerical method alternative to Monte Carlo simulations is proposed. The structure of the SDE is inspired by stochastic…
This paper addresses the challenging numerical simulation of nonlinear hybrid stochastic functional differential equations with infinite delays. We first propose an explicit scheme using space and time truncation, requiring only finite…
Heun differential equations are the most general second order Fuchsian equations with four regular singularities. An explicit integral series representation of Heun functions involving only elementary integrands has hitherto been unknown…
We develop the mathematical foundations of the stochastic modified equations (SME) framework for analyzing the dynamics of stochastic gradient algorithms, where the latter is approximated by a class of stochastic differential equations with…
Uncertainty quantification appears today as a crucial point in numerous branches of science and engineering. In the past two decades, a growing interest has been devoted to stochastic finite element method (SFEM) for the propagation of…
This paper investigates the approximation of stochastic delay differential equations (SDDEs) via the backward Euler-Maruyama (BEM) method under generalized monotonicity and Khasminskii-type conditions in the infinite horizon. First, by…
In this paper we address the convergence of stochastic approximation when the functions to be minimized are not convex and nonsmooth. We show that the "mean-limit" approach to the convergence which leads, for smooth problems, to the ODE…