3 papers
math.PR2020
Convergence in total variation of the Euler-Maruyama scheme applied to diffusion processes with measurable drift coefficient and additive noise
Oumaima Bencheikh, Benjamin Jourdain
We are interested in the Euler-Maruyama discretization of a stochastic differential equation in dimension with constant diffusion coefficient and bounded measurable drift coeff…
math.PR2019
Weak and strong error analysis for mean-field rank based particle approximations of one dimensional viscous scalar conservation law
Oumaima Bencheikh, Benjamin Jourdain
In this paper, we analyse the rate of convergence of a system of interacting particles with mean-field rank based interaction in the drift coefficient and constant diffusion co…
math.PR2018
Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean
Oumaima Bencheikh, Benjamin Jourdain
In this paper, we prove that the weak error between a stochastic differential equation with nonlinearity in the sense of McKean given by moments and its approximation by the Euler…