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math.NA2019
Using coupling methods to estimate sample quality for stochastic differential equations
Matthew Dobson, Jiayu Zhai, Yao Li
A probabilistic approach for estimating sample qualities for stochastic differential equations is introduced in this paper. The aim is to provide a quantitative upper bound of the…
math.NA2019★ 3 cited
An efficient data-driven solver for Fokker-Planck equations: algorithm and analysis
Matthew Dobson, Yao Li, Jiayu Zhai
Computing the invariant probability measure of a randomly perturbed dynamical system usually means solving the stationary Fokker-Planck equation. This paper studies several key pro…