40 citations · 69 across the 16 of their papers we have counts for
Showing 2016Show all
3 papers · 1 filter
math.PR2016★ 1 cited
A note on existence of global solutions and invariant measures for jump SDEs with locally one-sided Lipschitz drift
Mateusz B. Majka
We extend some methods developed by Albeverio, Brzeźniak and Wu and we show how to apply them in order to prove existence of global strong solutions of stochastic differential equa…
math.PR2016★ 12 cited
Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling
Mateusz B. Majka
By using the mirror coupling for solutions of SDEs driven by pure jump Lévy processes, we extend some transportation and concentration inequalities, which were previously known onl…
math.NA2016
Multilevel Monte Carlo methods for the approximation of invariant measures of stochastic differential equations
Michael B. Giles, Mateusz B. Majka, Lukasz Szpruch +2
We develop a framework that allows the use of the multi-level Monte Carlo (MLMC) methodology (Giles2015) to calculate expectations with respect to the invariant measure of an ergod…