10 citations · 20 across the 15 of their papers we have counts for
4 papers · 1 filter
-Wasserstein contraction for Euler schemes of elliptic diffusions and interacting particle systems
Linshan Liu, Mateusz B. Majka, Pierre Monmarché
We show the -Wasserstein contraction for the transition kernel of a discretised diffusion process, under a contractivity at infinity condition on the drift and a sufficiently…
Asymptotic expansion of the invariant measurefor Markov-modulated ODEs at high frequency
Pierre Monmarché, Edouard Strickler
We consider time-inhomogeneous ODEs whose parameters are governed by an underlying ergodic Markov process. When this underlying process is accelerated by a factor $\varepsilon^{-1}…
Second order quantitative bounds for unadjusted generalized Hamiltonian Monte Carlo
Evan Camrud, Alain Durmus, Pierre Monmarché +1
This paper provides a convergence analysis for generalized Hamiltonian Monte Carlo samplers, a family of Markov Chain Monte Carlo methods based on leapfrog integration of Hamiltoni…
Piecewise deterministic sampling with splitting schemes
Andrea Bertazzi, Paul Dobson, Pierre Monmarché
We introduce Markov chain Monte Carlo (MCMC) algorithms based on numerical approximations of piecewise-deterministic Markov processes obtained with the framework of splitting schem…