惯性聚合 高效追踪和阅读你感兴趣的博客、新闻、科技资讯
阅读原文 在惯性聚合中打开

推荐订阅源

Y
Y Combinator Blog
MyScale Blog
MyScale Blog
Recent Announcements
Recent Announcements
酷 壳 – CoolShell
酷 壳 – CoolShell
GbyAI
GbyAI
freeCodeCamp Programming Tutorials: Python, JavaScript, Git & More
Cyber Security Advisories - MS-ISAC
Cyber Security Advisories - MS-ISAC
N
Netflix TechBlog - Medium
V
V2EX
MongoDB | Blog
MongoDB | Blog
Microsoft Security Blog
Microsoft Security Blog
博客园 - 三生石上(FineUI控件)
Stack Overflow Blog
Stack Overflow Blog
U
Unit 42
B
Blog
Microsoft Azure Blog
Microsoft Azure Blog
博客园_首页
H
Help Net Security
D
DataBreaches.Net
OSCHINA 社区最新新闻
OSCHINA 社区最新新闻
阮一峰的网络日志
阮一峰的网络日志
T
The Blog of Author Tim Ferriss
C
Check Point Blog
奇客Solidot–传递最新科技情报
奇客Solidot–传递最新科技情报

math.PR updates on arXiv.org

Visibility in the Boolean Model on Harmonic Manifolds Global estimates on the Brenier map Geodesics and Wandering Exponents in Brochette First-Passage Percolation State-dependent inverse-subordinator time changes of regenerative processes: Excursion structure and multiscale occupation-time limits Randomly twisted transfer operators and singular values statistics Generalized Bessel-Dunkl diffusions An almost sure invariance principle for the Takagi-van der Waerden class functions Central limit theorems for high dimensional lattice polytopes: cosmological polytopes Convergence rate estimates for semigroups and heat kernels associated with resistance forms Second-order Poincaré inequalities and localization on the Poisson space Maximum Probability of Independence in Transitive Matroids On global solutions to the semidiscrete stochastic heat equation The Poisson Tail Conjecture for primes in short intervals A Complete Spectral Analysis of the CEV Operator with Applications to Arbitrage Holographic functions and neural networks From Betting to Empirical Bernstein LIL Concentration of General Stochastic Approximation Under Heavy-Tailed Markovian Noise Pointwise Generalization in Deep Neural Networks Bayesian Latent Space Models for Graphs Are Misspecified: Toward Robust Inference via Generalized Posteriors Wasserstein bounds for denoising diffusion probabilistic models via the Föllmer process A note on connections between the Föllmer process and the denoising diffusion probabilistic model Simple Approximation and Derivative Free Inference-Time Scaling for Diffusion Models via Sequential Monte Carlo on Path Measures Diffusion-Based Stochastic Operator Networks for Uncertainty Quantification in Stochastic Partial Differential Equations A Fourier perspective on the learning dynamics of neural networks: from sample complexities to mechanistic insights Propagation of Chaos in Contextual Flow Maps Dimension-Uniform Discretization Analysis of Preconditioned Annealed Langevin Dynamics for Multimodal Gaussian Mixtures $α$-TCAV: A Unified Framework for Testing with Concept Activation Vectors Scaling Laws from Sequential Feature Recovery: A Solvable Hierarchical Model On the Limits of Latent Reuse in Diffusion Models State-of-art minibatches via novel DPP kernels: discretization, wavelets, and rough objectives
Higher-order spring-coupled multilevel Monte Carlo method...
Sankarasubramanian Ragunathan, Håkon Andreas Hoel · 2024-03-11 · via math.PR updates on arXiv.org

A higher-order change-of-measure multilevel Monte Carlo (MLMC) method is developed for computing weak approximations of the invariant measures of SDE with drift coefficients that do not satisfy the contractivity condition. This is achieved by introducing a spring term in the pairwise coupling of the MLMC trajectories employing the order 1.5 strong Itô--Taylor method. Through this, we can recover the contractivity property of the drift coefficient while still retaining the telescoping sum property needed for implementing the MLMC method. We show that the variance of the change-of-measure MLMC method grows linearly in time $T$ for all $T > 0$, and for all sufficiently small timestep size $h > 0$. For a given error tolerance $ε> 0$, we prove that the method achieves a mean-square-error accuracy of $O(ε^2)$ with a computational cost of $O(ε^{-2} \big\vert \log ε\big\vert^{3/2} (\log \big\vert \log ε\big\vert)^{1/2})$ for uniformly Lipschitz continuous payoff functions and $O \big( ε^{-2} \big\vert \log ε\big\vert^{5/3 + ξ} \big)$ for discontinuous payoffs, respectively, where $ξ> 0$. We also observe an improvement in the constant associated with the computational cost of the higher-order change-of-measure MLMC method, marking an improvement over the Milstein change-of-measure method in the aforementioned seminal work by M. Giles and W. Fang. Several numerical tests were performed to verify the theoretical results and assess the robustness of the method.