62 citations · 292 across the 13 of their papers we have counts for
10 papers · 1 filter
New Weak Error bounds and expansions for Optimal Quantization
Vincent Lemaire, Thibaut Montes, Gilles Pagès
We propose new weak error bounds and expansion in dimension one for optimal quantization-based cubature formula for different classes of functions, such that piecewise affine funct…
Thinning and Multilevel Monte Carlo for Piecewise Deterministic (Markov) Processes. Application to a stochastic Morris-Lecar model
Vincent Lemaire, Michèle Thieullen, Nicolas Thomas
In the first part of this paper we study approximations of trajectories of Piecewise Deter-ministic Processes (PDP) when the flow is not explicit by the thinning method. We also es…
Weak error for nested Multilevel Monte Carlo
Daphné Giorgi, Vincent Lemaire, Gilles Pagès
This article discusses MLMC estimators with and without weights, applied to nested expectations of the form E [f (E [F (Y, Z)|Y ])]. More precisely, we are interested on the assump…
Exact simulation of the jump times of a class of Piecewise Deterministic Markov Processes
Vincent Lemaire, Michèle Thieullen, Nicolas Thomas
In this paper, we are interested in the exact simulation of a class of Piecewise Deterministic Markov Processes (PDMP). We show how to perform efficient thinning algorithms dependi…
Multilevel Richardson-Romberg extrapolation
Vincent Lemaire, Gilles Pagès
We propose and analyze a Multilevel Richardson-Romberg (MLRR) estimator which combines the higher order bias cancellation of the Multistep Richardson-Romberg method introduced in […
Invariant distribution of duplicated diffusions and application to Richardson-Romberg extrapolation
Vincent Lemaire, Gilles Pagès, Fabien Panloup
With a view to numerical applications we address the following question: given an ergodic Brownian diffusion with a unique invariant distribution, what are the invariant distributi…