2 papers
math.PR2025
Strong approximation for stochastic Volterra equations by compound Poisson processes
Xicheng Zhang, Yuanlong Zhao
We study a compound Poisson (random time-change) approximation for stochastic differential equations (SDEs) and stochastic Volterra equations whose coefficients may be merely measu…
stat.ML2025
Anchored Langevin Algorithms
Mert Gurbuzbalaban, Hoang M. Nguyen, Xicheng Zhang +1
Standard first-order Langevin algorithms such as the unadjusted Langevin algorithm (ULA) are obtained by discretizing the Langevin diffusion and are widely used for sampling in mac…