3 papers
stat.ME2024
Parametric multi-fidelity Monte Carlo estimation with applications to extremes
Minji Kim, Brendan Brown, Vladas Pipiras
In a multi-fidelity setting, data are available from two sources, high- and low-fidelity. Low-fidelity data has larger size and can be leveraged to make more efficient inference ab…
math.PR2020
Dimension-free local convergence and perturbations for reflected Brownian motions
Sayan Banerjee, Brendan Brown
We describe and analyze a class of positive recurrent reflected Brownian motions (RBMs) in for which local statistics converge to equilibrium at a rate independent…
math.PR2019
Inert drift system in a viscous fluid: Steady state asymptotics and exponential ergodicity
Sayan Banerjee, Brendan Brown
We analyze a system of stochastic differential equations describing the joint motion of a massive (inert) particle in a viscous fluid in the presence of a gravitational field and a…