5 papers
A Multiscale Perspective on Maximum Marginal Likelihood Estimation
O. Deniz Akyildiz, Michela Ottobre, Iain Souttar
In this paper, we provide a multiscale perspective on the problem of maximum marginal likelihood estimation. We consider and analyse a diffusion-based maximum marginal likelihood e…
Non-asymptotic uniform in time error bounds for new and old numerical schemes for SPDEs
Can Huang, Michela Ottobre, Gideon Simpson
We study numerical schemes for Stochastic Partial Differential Equations (SPDEs). We introduce a general method of proof of non-asymptotic uniform in time error bounds on numerical…
Coarse graining of stochastic differential equations: averaging and projection method
Manh Hong Duong, Carsten Hartmann, Michela Ottobre
We study coarse-graining methods for stochastic differential equations. In particular we consider averaging and a type of projection operator method, sometimes referred to as effec…
Counting the number of stationary solutions of Partial Differential Equations via infinite dimensional sampling
Martin Kolodziejczyk, Michela Ottobre, Gideon Simpson
This paper is concerned with the problem of counting solutions of stationary nonlinear Partial Differential Equations (PDEs) when the PDE is known to admit more than one solution.…
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…