9 citations · 15 across the 5 of their papers we have counts for
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math.NA2023★ 2 cited
Projected Langevin Monte Carlo algorithms in non-convex and super-linear setting
Chenxu Pang, Xiaojie Wang, Yue Wu
It is of significant interest in many applications to sample from a high-dimensional target distribution with the density , based…
math.NA2023★ 9 cited
Linear implicit approximations of invariant measures of semi-linear SDEs with non-globally Lipschitz coefficients
Chenxu Pang, Xiaojie Wang, Yue Wu
This article investigates the weak approximation towards the invariant measure of semi-linear stochastic differential equations (SDEs) under non-globally Lipschitz coefficients. Fo…
math.NA2023★ 4 cited
Antithetic multilevel Monte Carlo method for approximations of SDEs with non-globally Lipschitz continuous coefficients
Chenxu Pang, Xiaojie Wang
In the field of computational finance, one is commonly interested in the expected value of a financial derivative whose payoff depends on the solution of stochastic differential eq…