2 papers
math.PR2026
Small mass limit of expected signature for physical Brownian motion
Siran Li, Hao Ni, Qianyu Zhu
Physical Brownian motion describes the dynamics of a Brownian particle experiencing frictional force. It was investigated in the classical work [L. S. Ornstein and G. E. Uhlenbeck,…
stat.ML2025
Generative Modelling of Lévy Area for High Order SDE Simulation
Andraž JelinÄiÄ, Jiajie Tao, William F. Turner +3
It is well understood that, when numerically simulating SDEs with general noise, achieving a strong convergence rate better than (where h is the step size) requires t…