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math.PR2025
Skew-symmetric schemes for stochastic differential equations with non-Lipschitz drift: an unadjusted Barker algorithm
Yuga Iguchi, Samuel Livingstone, Nikolas Nüsken +2
We propose a new simple and explicit numerical scheme for time-homogeneous stochastic differential equations. The scheme is based on sampling increments at each time step from a sk…
math.PR2025
Foundations of locally-balanced Markov processes
Samuel Livingstone, Giorgos Vasdekis, Giacomo Zanella
We formally introduce and study locally-balanced Markov jump processes (LBMJPs) defined on a general state space. These continuous-time stochastic processes with a user-specified l…