1 citations · 1 across the 6 of their papers we have counts for
6 papers
A modified tamed scheme for stochastic differential equations with superlinear drifts
Zichang Ju, Lei Li, Yuliang Wang
Explicit discretizations of stochastic differential equations often encounter instability when the coefficients are not globally Lipschitz. The truncated schemes and tamed schemes…
Estimates of the numerical density for stochastic differential equations with multiplicative noise
Lei Li, Mengchao Wang, Yuliang Wang
We investigate the estimates of the density for the traditional Euler-Maruyama discretization of stochastic differential equations (SDEs) with multiplicative noise. Our estimates f…
Propagation of chaos in path spaces via information theory
Lei Li, Yuelin Wang, Yuliang Wang
Propagation of chaos for interacting particle systems has been an active research topic over decades. We propose an alternative approach to study the mean-field limit of the stocha…
Geometric ergodicity of SGLD via reflection coupling
Lei Li, Jian-Guo Liu, Yuliang Wang
We consider the geometric ergodicity of the Stochastic Gradient Langevin Dynamics (SGLD) algorithm under nonconvexity settings. Via the technique of reflection coupling, we prove t…
On uniform-in-time diffusion approximation for stochastic gradient descent
Lei Li, Yuliang Wang
The diffusion approximation of stochastic gradient descent (SGD) in current literature is only valid on a finite time interval. In this paper, we establish the uniform-in-time diff…
A sharp uniform-in-time error estimate for Stochastic Gradient Langevin Dynamics
Lei Li, Yuliang Wang
We establish a sharp uniform-in-time error estimate for the Stochastic Gradient Langevin Dynamics (SGLD), which is a widely-used sampling algorithm. Under mild assumptions, we obta…