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4 papers · 2 filters
Projected Langevin Monte Carlo algorithms in non-convex and super-linear setting
Chenxu Pang, Xiaojie Wang, Yue Wu
It is of significant interest in many applications to sample from a high-dimensional target distribution with the density , based…
Linear implicit approximations of invariant measures of semi-linear SDEs with non-globally Lipschitz coefficients
Chenxu Pang, Xiaojie Wang, Yue Wu
This article investigates the weak approximation towards the invariant measure of semi-linear stochastic differential equations (SDEs) under non-globally Lipschitz coefficients. Fo…
Strong convergence rates for a full discretization of stochastic wave equation with nonlinear damping
Meng Cai, David Cohen, Xiaojie Wang
The paper establishes the strong convergence rates of a spatio-temporal full discretization of the stochastic wave equation with nonlinear damping in dimension one and two. We disc…
Antithetic multilevel Monte Carlo method for approximations of SDEs with non-globally Lipschitz continuous coefficients
Chenxu Pang, Xiaojie Wang
In the field of computational finance, one is commonly interested in the expected value of a financial derivative whose payoff depends on the solution of stochastic differential eq…