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math.NA2026
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…
stat.CO2026
On randomized step sizes in Metropolis-Hastings algorithms
Sebastiano Grazzi, Samuel Livingstone, Lionel Riou-Durand
The performance of Metropolis-Hastings algorithms is highly sensitive to the choice of step size, and miss-specification can lead to severe loss of efficiency. We study algorithms…