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math.NA2020★ 21 cited
Complexity of randomized algorithms for underdamped Langevin dynamics
Yu Cao, Jianfeng Lu, Lihan Wang
We establish an information complexity lower bound of randomized algorithms for simulating underdamped Langevin dynamics. More specifically, we prove that the worst strong er…
math.NA2018★ 4 cited
Numerical methods for stochastic differential equations based on Gaussian mixture
Lei Li, Jianfeng Lu, Jonathan Mattingly +1
We develop in this work a numerical method for stochastic differential equations (SDEs) with weak second order accuracy based on Gaussian mixture. Unlike the conventional higher or…