25 citations · 114 across the 27 of their papers we have counts for
33 papers
Convergence rate of the occupation measure of classes of ergodic processes toward their invariant distribution in mean Wasserstein distance
Gilles Pagès, Fabien Panloup
N. Fournier and A. Guillin obtained in their 2015 PTRF paper some bounds of the L^p-mean rate of convergence in Wasserstein distance of empirical distributions for a class of stati…
Kolmogorov-Smirnov distance and discrepancies versus Wasserstein distances
Gilles Pagès, Fabien Panloup
We establish inequalities that compare the p-Wasserstein distance to distances which are built as suprema of box measures. More precisely, when the measures are supported on $[0,1]…
Quasi-Stationary Distributions of Interacting Dynamical Systems and their approximation
Mohamed Alfaki Aboubacrine Assadeck, Fabien Panloup
In \cite{BCP}, the authors built and studied an algorithm based on the (self)-interaction of a dynamics with its occupation measure to approximate Quasi-Stationary Distributions (Q…
Fast convergence rates for estimating the stationary density in SDEs driven by a fractional Brownian motion with semi-contractive drift
Chiara Amorino, Eulalia Nualart, Fabien Panloup +1
We study the estimation of the invariant density of additive fractional stochastic differential equations with Hurst parameter . We first focus on continuous observati…
Asymptotically unbiased approximation of the QSD of diffusion processes with a decreasing time step Euler scheme
Fabien Panloup, Julien Reygner
We build and study a recursive algorithm based on the occupation measure of an Euler scheme with decreasing step for the numerical approximation of the quasistationary distribution…
On the (Non-)Stationary Density of Fractional-Driven Stochastic Differential Equations
Xue-Mei Li, Fabien Panloup, Julian Sieber
We investigate the stationary measure of SDEs driven by additive fractional noise with any Hurst parameter and establish that admits a smooth Lebesgue density obeying both…
Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme
Pierre Bras, Gilles Pagès, Fabien Panloup
We give bounds for the total variation distance between the solutions to two stochastic differential equations starting at the same point and with close coefficients, which applies…
Multilevel-Langevin pathwise average for Gibbs approximation
Maxime Egéa, Fabien Panloup
We propose and study a new multilevel method for the numerical approximation of a Gibbs distribution on , based on (overdamped) Langevin diffusions. This method i…
VARCLUST: clustering variables using dimensionality reduction
Piotr Sobczyk, Stanislaw Wilczynski, Malgorzata Bogdan +5
VARCLUST algorithm is proposed for clustering variables under the assumption that variables in a given cluster are linear combinations of a small number of hidden latent variables,…
Unadjusted Langevin algorithm with multiplicative noise: Total variation and Wasserstein bounds
Gilles Pages, Fabien Panloup
In this paper, we focus on non-asymptotic bounds related to the Euler scheme of an ergodic diffusion with a possibly multiplicative diffusion term (non-constant diffusion coefficie…
On the cost of Bayesian posterior mean strategy for log-concave models
Sébastien Gadat, Fabien Panloup, Clément Pellegrini
In this paper, we investigate the problem of computing Bayesian estimators using Langevin Monte-Carlo type approximation. The novelty of this paper is to consider together the stat…
Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion
Karine Bertin, Nicolas Klutchnikoff, Fabien Panloup +1
We build and study a data-driven procedure for the estimation of the stationary density f of an additive fractional SDE. To this end, we also prove some new concentrations bounds f…
A general drift estimation procedure for stochastic differential equations with additive fractional noise
Fabien Panloup, Samy Tindel, Maylis Varvenne
In this paper we consider the drift estimation problem for a general differential equation driven by an additive multidimensional fractional Brownian motion, under ergodic assumpti…
Probabilistic reconstruction of genealogies for polyploid plant species
Frédéric Proïa, Fabien Panloup, Chiraz Trabelsi +1
A probabilistic reconstruction of genealogies in a polyploid population (from 2x to 4x) is investigated, by considering genetic data analyzed as the probability of allele presence…
Sub-exponential convergence to equilibrium for Gaussian driven Stochastic Differential Equations with semi-contractive drift
Fabien Panloup, Alexandre Richard
The convergence to the stationary regime is studied for Stochastic Differential Equations driven by an additive Gaussian noise and evolving in a semi-contractive environment, i.e.…
Optimal non-asymptotic bound of the Ruppert-Polyak averaging without strong convexity
Sébastien Gadat, Fabien Panloup
This paper is devoted to the non-asymptotic control of the mean-squared error for the Ruppert-Polyak stochastic averaged gradient descent introduced in the seminal contributions of…
Stochastic Heavy Ball
Sébastien Gadat, Fabien Panloup, Sofiane Saadane
This paper deals with a natural stochastic optimization procedure derived from the so-called Heavy-ball method differential equation, which was introduced by Polyak in the 1960s wi…
Weighted Multilevel Langevin Simulation of Invariant Measures
Gilles Pagès, Fabien Panloup
We investigate a weighted Multilevel Richardson-Romberg extrapolation for the ergodic approximation of invariant distributions of diffusions adapted from the one introduced in~[Lem…
Stochastic approximation of quasi-stationary distributions on compact spaces and applications
Michel Benaim, Bertrand Cloez, Fabien Panloup
In the continuity of a recent paper ([6]), dealing with finite Markov chains, this paper proposes and analyzes a recursive algorithm for the approximation of the quasi-stationary d…
Rate of convergence to equilibrium of fractional driven stochastic differential equations with rough multiplicative noise
Aurélien Deya, Fabien Panloup, Samy Tindel
We investigate the problem of the rate of convergence to equilibrium for ergodic stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H\in (…
Long time behavior of Markov processes and beyond
Florian Bouguet, Florent Malrieu, Fabien Panloup +2
This note provides several recent progresses in the study of long time behavior of Markov processes. The examples presented below are related to other scientific fields as PDE's, p…
Regret bounds for Narendra-Shapiro bandit algorithms
Sébastien Gadat, Fabien Panloup, Sofiane Saadane
Narendra-Shapiro (NS) algorithms are bandit-type algorithms that have been introduced in the sixties (with a view to applications in Psychology or learning automata), whose converg…
Rate of convergence to equilibrium of fractional driven stochastic differential equations with some multiplicative noise
Joaquin Fontbona, Fabien Panloup
We investigate the problem of the rate of convergence to equilibrium for ergodic stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H\text…
A stochastic model for speculative bubbles
Sébastien Gadat, Laurent Miclo, Fabien Panloup
This paper aims to provide a simple modelling of speculative bubbles and derive some quantitative properties of its dynamical evolution. Starting from a description of individual s…