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math.PR2024
A Tamed Euler Scheme for SDEs with Non-Locally Integrable Drift Coefficient
Tim Johnston, Sotirios Sabanis
In this article we show that for SDEs with a drift coefficient that is non-locally integrable, one may define a tamed Euler scheme that converges in at rate to the true…
math.PR2024
Taming the Interacting Particle Langevin Algorithm: The Superlinear case
Tim Johnston, Nikolaos Makras, Sotirios Sabanis
Recent advances in stochastic optimization have yielded the interacting particle Langevin algorithm (IPLA), which leverages the notion of interacting particle systems (IPS) to effi…