224 citations · 436 across the 15 of their papers we have counts for
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math.NA2020★ 1 cited
Importance Sampling for Pathwise Sensitivity of Stochastic Chaotic Systems
Wei Fang, Mike Giles
This paper proposes a new pathwise sensitivity estimator for chaotic SDEs. By introducing a spring term between the original and perturbated SDEs, we derive a new estimator by impo…
math.NA2018★ 4 cited
Multilevel Monte Carlo Method for Ergodic SDEs without Contractivity
Wei Fang, Michael B. Giles
This paper proposes a new multilevel Monte Carlo (MLMC) method for the ergodic SDEs which do not satisfy the contractivity condition. By introducing the change of measure technique…
math.NA2016★ 20 cited
Adaptive Euler-Maruyama Method for SDEs with Non-globally Lipschitz Drift: Part I, Finite Time Interval
Wei Fang, Michael Bryce Giles
This paper proposes an adaptive timestep construction for an Euler-Maruyama approximation of SDEs with a drift which is not globally Lipschitz. It is proved that if the timestep is…