From the 1 of 668 papers with an AI index.
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5 papers · 2 filters
On a new class of score functions to estimate tail probabilities of some stochastic processes with Adaptive Multilevel Splitting
Charles-Edouard Bréhier, Tony Lelièvre
We investigate the application of the Adaptive Multilevel Splitting algorithm for the estimation of tail probabilities of solutions of Stochastic Differential Equations evaluated a…
Squared quadratic Wasserstein distance : optimal couplings and Lions differentiability
Aurélien Alfonsi, Benjamin Jourdain
In this paper, we remark that any optimal coupling for the quadratic Wasserstein distance between two probability measures and with finite second order moments…
Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean
Oumaima Bencheikh, Benjamin Jourdain
In this paper, we prove that the weak error between a stochastic differential equation with nonlinearity in the sense of McKean given by moments and its approximation by the Euler…
Simulating Coulomb gases and log-gases with hybrid Monte Carlo algorithms
Djalil Chafaï, Grégoire Ferré
Coulomb and log-gases are exchangeable singular Boltzmann-Gibbs measures appearing in mathematical physics at many places, in particular in random matrix theory. We explore experim…
Pathwise estimates for effective dynamics: the case of nonlinear vectorial reaction coordinates
Tony Lelièvre, Wei Zhang
Effective dynamics using conditional expectation was proposed in [F. Legoll and T. Lelièvre, Nonlinearity, 2010] to approximate the essential dynamics of high-dimensional diffusion…