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math.PR2026
A Lyapunov-tamed Euler method for singular SDEs
Tim Johnston, Pierre Monmarché
Many applications, such as systems of interacting particles in physics, require the simulation of diffusion processes with singular coefficients. Standard Euler schemes are then no…
math.PR2025
Taming the Interacting Particle Langevin Algorithm: The Superlinear case
Tim Johnston, Nikolaos Makras, Sotirios Sabanis
Recent advances in stochastic optimization have yielded the interacting particle Langevin algorithm (IPLA), which leverages the notion of interacting particle systems (IPS) to effi…