126 citations · 826 across the 40 of their papers we have counts for
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math.PR2015★ 94 cited
Randomized Hamiltonian Monte Carlo
Nawaf Bou-Rabee, Jesus Maria Sanz-Serna
Tuning the durations of the Hamiltonian flow in Hamiltonian Monte Carlo (also called Hybrid Monte Carlo) (HMC) involves a tradeoff between computational cost and sampling quality,…
math.PR2015
Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations
Nawaf Bou-Rabee, Eric Vanden-Eijnden
This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics…