5 citations · 7 across the 9 of their papers we have counts for
10 papers
Diffusion Models for High-Dimensional Clustered Data: Intrinsic-Dimension Adaptivity via Bayesian Classification
Yuga Iguchi, Paul Fearnhead
The empirical success of diffusion models in generative modelling has motivated theoretical work, including quantitative error bounds and qualitative analyses that characterise the…
Pathwise skew-symmetric discretisation for SDEs with superlinear drift
Yuga Iguchi, Samuel Livingstone, Giorgos Vasdekis +1
The skew-symmetric discretisation has recently been proposed as a new robust simulation method for weakly approximating stochastic differential equations (SDEs) with non-globally L…
Parameter Estimation for Weakly Interacting Hypoelliptic Diffusions
Yuga Iguchi, Alexandros Beskos, Grigorios A. Pavliotis
We study parameter estimation for interacting particle systems (IPSs) consisting of weakly interacting multivariate hypoelliptic SDEs. We propose a locally Gaussian approximati…
A Closed-Form Transition Density Expansion for Elliptic and Hypo-Elliptic SDEs
Yuga Iguchi, Alexandros Beskos
We introduce a closed-form expansion for the transition density of elliptic and hypo-elliptic multivariate Stochastic Differential Equations (SDEs), over a period , in…
An extended Milstein scheme for effective weak approximation of diffusions
Yuga Iguchi, Toshihiro Yamada
We propose a straightforward and effective method for discretizing multi-dimensional diffusion processes as an extension of Milstein scheme. The new scheme is explicitly given and…
Skew-symmetric schemes for stochastic differential equations with non-Lipschitz drift: an unadjusted Barker algorithm
Yuga Iguchi, Samuel Livingstone, Nikolas Nüsken +2
We propose a new simple and explicit numerical scheme for time-homogeneous stochastic differential equations. The scheme is based on sampling increments at each time step from a sk…
Antithetic Multilevel Methods for Elliptic and Hypo-Elliptic Diffusions with Applications
Yuga Iguchi, Ajay Jasra, Mohamed Maama +1
We present a new antithetic multilevel Monte Carlo (MLMC) method for the estimation of expectations with respect to laws of diffusion processes that can be elliptic or hypo-ellipti…
Parameter Inference for Hypo-Elliptic Diffusions under a Weak Design Condition
Yuga Iguchi, Alexandros Beskos
We address the problem of parameter estimation for degenerate diffusion processes defined via the solution of Stochastic Differential Equations (SDEs) with diffusion matrix that is…
Parameter Inference for Degenerate Diffusion Processes
Yuga Iguchi, Alexandros Beskos, Matthew Graham
We study parametric inference for ergodic diffusion processes with a degenerate diffusion matrix. Existing research focuses on a particular class of hypo-elliptic SDEs, with compon…
Parameter Estimation with Increased Precision for Elliptic and Hypo-elliptic Diffusions
Yuga Iguchi, Alexandros Beskos, Matthew M. Graham
This work aims at making a comprehensive contribution in the general area of parametric inference for discretely observed diffusion processes. Established approaches for likelihood…