2 papers
math.NA2025
Ergodicity and error estimate of laws for a random splitting Langevin Monte Carlo
Lei Li, Chen Wang, Mengchao Wang
The random splitting Langevin Monte Carlo could mitigate the first order bias in Langevin Monte Carlo with little extra work compared other high order schemes. We develop in this w…
math.NA2025
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…