9 citations · 20 across the 5 of their papers we have counts for
5 papers
Approximation of non-linear SPDEs with additive noise via weighted interacting particles systems: the stochastic McKean-Vlasov equation
Letizia Angeli, Dan Crisan, Martin Kolodziejczyk +1
This paper is devoted to the problem of approximating non-linear Stochastic Partial Differential Equations (SPDEs) via interacting particle systems. In particular, we consider the…
Uniform in time convergence of numerical schemes for stochastic differential equations via Strong Exponential stability: Euler methods, Split-Step and Tamed Schemes
Letizia Angeli, Dan Crisan, Michela Ottobre
We prove a general criterion providing sufficient conditions under which a time-discretiziation of a given Stochastic Differential Equation (SDE) is a uniform in time approximation…
Well-posedness and stationary solutions of McKean-Vlasov (S)PDEs
Letizia Angeli, Julien Barré, Martin Kolodziejczyk +1
This paper is composed of two parts. In the first part we consider McKean-Vlasov Partial Differential Equations (PDEs), obtained as thermodynamic limits of interacting particle sys…
Limit theorems for cloning algorithms
Letizia Angeli, Stefan Grosskinsky, Adam M. Johansen
Large deviations for additive path functionals of stochastic processes have attracted significant research interest, in particular in the context of stochastic particle systems and…
Rare event simulation for stochastic dynamics in continuous time
Letizia Angeli, Stefan Grosskinsky, Adam M. Johansen +1
Large deviations for additive path functionals of stochastic dynamics and related numerical approaches have attracted significant recent research interest. We focus on the question…