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math.NA2022
High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids
Aurélien Alfonsi, Edoardo Lombardo
We present new high order approximations schemes for the Cox-Ingersoll-Ross (CIR) process that are obtained by using a recent technique developed by Alfonsi and Bally (2021) for th…
math.NA2021
Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation
Aurélien Alfonsi, Rafaël Coyaud, Virginie Ehrlacher
The Strictly Correlated Electrons (SCE) limit of the Levy-Lieb functional in Density Functional Theory (DFT) gives rise to a symmetric multi-marginal optimal transport problem with…