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5 papers · 2 filters
Accelerated finite elements schemes for parabolic stochastic partial differential equations
István Gyöngy, Annie Millet
For a class of finite elements approximations for linear stochastic parabolic PDEs it is proved that one can accelerate the rate of convergence by Richardson extrapolation. More pr…
Simulation of McKean Vlasov SDEs with super linear growth
G. dos Reis, S. Engelhardt, G. Smith
We present two fully probabilistic Euler schemes, one explicit and one implicit, for the simulation of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) with drifts of supe…
Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes
T. Cass, D. Crisan, P. Dobson +1
We study the long time behaviour of a large class of diffusion processes on , generated by second order differential operators of (possibly) degenerate type. The operators tha…
Ergodic properties of quasi-Markovian generalized Langevin equations with configuration dependent noise and non-conservative force
Benedict Leimkuhler, Matthias Sachs
We discuss the ergodic properties of quasi-Markovian stochastic differential equations, providing general conditions that ensure existence and uniqueness of a smooth invariant dist…
An unbiased Ito type stochastic representation for transport PDEs: A Toy Example
Goncalo dos Reis, Greig Smith
We propose a stochastic representation for a simple class of transport PDEs based on Ito representations. We detail an algorithm using an estimator stemming for the representation…