4 papers · 1 filter
Relative entropy estimate and geometric ergodicity for implicit Langevin Monte Carlo
Lei Li, Jian-Guo Liu, Yuliang Wang
We study the implicit Langevin Monte Carlo (iLMC) method, which simulates the overdamped Langevin equation via an implicit iteration rule. In many applications, iLMC is favored ove…
Estimates of the numerical density for stochastic differential equations with multiplicative noise
Lei Li, Mengchao Wang, Yuliang Wang
We investigate the estimates of the density for the traditional Euler-Maruyama discretization of stochastic differential equations (SDEs) with multiplicative noise. Our estimates f…
A modified tamed scheme for stochastic differential equations with superlinear drifts
Zichang Ju, Lei Li, Yuliang Wang
Explicit discretizations of stochastic differential equations often encounter instability when the coefficients are not globally Lipschitz. The truncated schemes and tamed schemes…
Propagation of chaos and approximation error of random batch particle system in the mean field regime
Lei Li, Yuelin Wang, Shi Jin
The random batch method [J. Comput. Phys. 400 (2020) 108877] is not only an efficient algorithm for simulation of classical -particle systems and their mean-field limit, but als…