155 citations · 231 across the 10 of their papers we have counts for
3 papers · 1 filter
High order splitting methods for SDEs satisfying a commutativity condition
James Foster, Goncalo dos Reis, Calum Strange
In this paper, we introduce a new simple approach to developing and establishing the convergence of splitting methods for a large class of stochastic differential equations (SDEs),…
The shifted ODE method for underdamped Langevin MCMC
James Foster, Terry Lyons, Harald Oberhauser
In this paper, we consider the underdamped Langevin diffusion (ULD) and propose a numerical approximation using its associated ordinary differential equation (ODE). When used as a…
An optimal polynomial approximation of Brownian motion
James Foster, Terry Lyons, Harald Oberhauser
In this paper, we will present a strong (or pathwise) approximation of standard Brownian motion by a class of orthogonal polynomials. The coefficients that are obtained from the ex…