Bhamidi, Shankar; Budhiraja, Amarjit; Dupuis, Paul; Wu, Ruoyu Rare event asymptotics for exploration processes for random graphs. (English) Zbl 07522870 Ann. Appl. Probab. 32, No. 2, 1112-1178 (2022). MSC: 05C80 60F10 60C05 05C80 90B15 60J85 PDF BibTeX XML Cite \textit{S. Bhamidi} et al., Ann. Appl. Probab. 32, No. 2, 1112--1178 (2022; Zbl 07522870) Full Text: DOI OpenURL
Podolskij, Mark; Veliyev, Bezirgen; Yoshida, Nakahiro Edgeworth expansion for Euler approximation of continuous diffusion processes. (English) Zbl 1472.60097 Ann. Appl. Probab. 30, No. 4, 1971-2003 (2020). MSC: 60H10 60F05 60J60 PDF BibTeX XML Cite \textit{M. Podolskij} et al., Ann. Appl. Probab. 30, No. 4, 1971--2003 (2020; Zbl 1472.60097) Full Text: DOI arXiv Euclid OpenURL
Majka, Mateusz B.; Mijatović, Aleksandar; Szpruch, Łukasz Nonasymptotic bounds for sampling algorithms without log-concavity. (English) Zbl 1466.65008 Ann. Appl. Probab. 30, No. 4, 1534-1581 (2020). MSC: 65C05 65C30 65C40 60J22 62H12 60H10 PDF BibTeX XML Cite \textit{M. B. Majka} et al., Ann. Appl. Probab. 30, No. 4, 1534--1581 (2020; Zbl 1466.65008) Full Text: DOI arXiv Euclid OpenURL
Ngo, Hoang-Long; Taguchi, Dai Semi-implicit Euler-Maruyama approximation for noncolliding particle systems. (English) Zbl 1464.60083 Ann. Appl. Probab. 30, No. 2, 673-705 (2020). MSC: 60K35 60H35 PDF BibTeX XML Cite \textit{H.-L. Ngo} and \textit{D. Taguchi}, Ann. Appl. Probab. 30, No. 2, 673--705 (2020; Zbl 1464.60083) Full Text: DOI arXiv Euclid OpenURL
Fang, Wei; Giles, Michael B. Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift. (English) Zbl 1464.60061 Ann. Appl. Probab. 30, No. 2, 526-560 (2020). MSC: 60H10 60H35 65C30 PDF BibTeX XML Cite \textit{W. Fang} and \textit{M. B. Giles}, Ann. Appl. Probab. 30, No. 2, 526--560 (2020; Zbl 1464.60061) Full Text: DOI arXiv Euclid OpenURL
Liu, Yanghui; Tindel, Samy First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case. (English) Zbl 1467.60042 Ann. Appl. Probab. 29, No. 2, 758-826 (2019). MSC: 60H10 60L20 60F17 60H35 65C30 PDF BibTeX XML Cite \textit{Y. Liu} and \textit{S. Tindel}, Ann. Appl. Probab. 29, No. 2, 758--826 (2019; Zbl 1467.60042) Full Text: DOI arXiv Euclid OpenURL
Benaim, Michel; Cloez, Bertrand; Panloup, Fabien Stochastic approximation of quasi-stationary distributions on compact spaces and applications. (English) Zbl 06974754 Ann. Appl. Probab. 28, No. 4, 2370-2416 (2018). MSC: 65C20 60B12 60J10 34F05 60J20 60J60 PDF BibTeX XML Cite \textit{M. Benaim} et al., Ann. Appl. Probab. 28, No. 4, 2370--2416 (2018; Zbl 06974754) Full Text: DOI arXiv Euclid OpenURL
Clément, Emmanuelle; Gloter, Arnaud An application of the KMT construction to the pathwise weak error in the Euler approximation of one-dimensional diffusion process with linear diffusion coefficient. (English) Zbl 1422.65019 Ann. Appl. Probab. 27, No. 4, 2419-2454 (2017). MSC: 65C30 60H35 PDF BibTeX XML Cite \textit{E. Clément} and \textit{A. Gloter}, Ann. Appl. Probab. 27, No. 4, 2419--2454 (2017; Zbl 1422.65019) Full Text: DOI Euclid OpenURL
Durmus, Alain; Moulines, Éric Nonasymptotic convergence analysis for the unadjusted Langevin algorithm. (English) Zbl 1377.65007 Ann. Appl. Probab. 27, No. 3, 1551-1587 (2017). MSC: 65C30 65C05 65C40 60H10 34F05 60H35 PDF BibTeX XML Cite \textit{A. Durmus} and \textit{É. Moulines}, Ann. Appl. Probab. 27, No. 3, 1551--1587 (2017; Zbl 1377.65007) Full Text: DOI arXiv OpenURL
Sabanis, Sotirios Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients. (English) Zbl 1352.60101 Ann. Appl. Probab. 26, No. 4, 2083-2105 (2016). MSC: 60H35 60H10 60F05 60F25 60F15 65C30 PDF BibTeX XML Cite \textit{S. Sabanis}, Ann. Appl. Probab. 26, No. 4, 2083--2105 (2016; Zbl 1352.60101) Full Text: DOI arXiv Euclid OpenURL
Hu, Yaozhong; Liu, Yanghui; Nualart, David Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions. (English) Zbl 1339.60095 Ann. Appl. Probab. 26, No. 2, 1147-1207 (2016). MSC: 60H35 60H10 60G22 60F25 60F05 60H07 65C30 26A33 PDF BibTeX XML Cite \textit{Y. Hu} et al., Ann. Appl. Probab. 26, No. 2, 1147--1207 (2016; Zbl 1339.60095) Full Text: DOI arXiv Euclid OpenURL
Frikha, Noufel Multi-level stochastic approximation algorithms. (English) Zbl 1344.93111 Ann. Appl. Probab. 26, No. 2, 933-985 (2016). MSC: 93E25 90C15 49M30 65C05 60F05 49J55 93E20 60H35 60H10 65C30 PDF BibTeX XML Cite \textit{N. Frikha}, Ann. Appl. Probab. 26, No. 2, 933--985 (2016; Zbl 1344.93111) Full Text: DOI arXiv Euclid OpenURL
Dereich, Steffen; Li, Sangmeng Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes. (English) Zbl 1338.65004 Ann. Appl. Probab. 26, No. 1, 136-185 (2016). Reviewer: Peter Parczewski (Mannheim) MSC: 65C05 65C30 60G51 60F05 60H10 65L12 34F05 PDF BibTeX XML Cite \textit{S. Dereich} and \textit{S. Li}, Ann. Appl. Probab. 26, No. 1, 136--185 (2016; Zbl 1338.65004) Full Text: DOI arXiv Euclid OpenURL
Trillos, Camilo Andrés García A decreasing step method for strongly oscillating stochastic models. (English) Zbl 1316.60111 Ann. Appl. Probab. 25, No. 2, 986-1029 (2015). MSC: 60H35 60H10 60F05 65C30 PDF BibTeX XML Cite \textit{C. A. G. Trillos}, Ann. Appl. Probab. 25, No. 2, 986--1029 (2015; Zbl 1316.60111) Full Text: DOI arXiv Euclid OpenURL
Ben Alaya, Mohamed; Kebaier, Ahmed Central limit theorem for the multilevel Monte Carlo Euler method. (English) Zbl 1320.60073 Ann. Appl. Probab. 25, No. 1, 211-234 (2015). Reviewer: Peter Parczewski (Mannheim) MSC: 60F05 65C05 62F12 60H35 PDF BibTeX XML Cite \textit{M. Ben Alaya} and \textit{A. Kebaier}, Ann. Appl. Probab. 25, No. 1, 211--234 (2015; Zbl 1320.60073) Full Text: DOI arXiv Euclid OpenURL
Alfonsi, A.; Jourdain, B.; Kohatsu-Higa, A. Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme. (English) Zbl 1296.65010 Ann. Appl. Probab. 24, No. 3, 1049-1080 (2014). Reviewer: Grigori N. Milstein (Yekaterinburg) MSC: 65C30 60H35 60H10 34F05 PDF BibTeX XML Cite \textit{A. Alfonsi} et al., Ann. Appl. Probab. 24, No. 3, 1049--1080 (2014; Zbl 1296.65010) Full Text: DOI arXiv Euclid OpenURL
Hutzenthaler, Martin; Jentzen, Arnulf; Kloeden, Peter E. Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients. (English) Zbl 1256.65003 Ann. Appl. Probab. 22, No. 4, 1611-1641 (2012). Reviewer: Melvin D. Lax (Long Beach) MSC: 65C30 60H10 60H35 34F05 PDF BibTeX XML Cite \textit{M. Hutzenthaler} et al., Ann. Appl. Probab. 22, No. 4, 1611--1641 (2012; Zbl 1256.65003) Full Text: DOI arXiv Euclid OpenURL
Fukasawa, Masaaki Discretization error of stochastic integrals. (English) Zbl 1234.60024 Ann. Appl. Probab. 21, No. 4, 1436-1465 (2011). Reviewer: Nicko G. Gamkrelidze (Moskva) MSC: 60F05 60F17 60H05 60H35 PDF BibTeX XML Cite \textit{M. Fukasawa}, Ann. Appl. Probab. 21, No. 4, 1436--1465 (2011; Zbl 1234.60024) Full Text: DOI arXiv OpenURL
Jentzen, Arnulf; Kloeden, Peter; Winkel, Georg Efficient simulation of nonlinear parabolic SPDEs with additive noise. (English) Zbl 1223.60050 Ann. Appl. Probab. 21, No. 3, 908-950 (2011). Reviewer: Martin Riedler (Linz) MSC: 60H35 60H15 35R60 65C30 PDF BibTeX XML Cite \textit{A. Jentzen} et al., Ann. Appl. Probab. 21, No. 3, 908--950 (2011; Zbl 1223.60050) Full Text: DOI arXiv OpenURL
Panloup, Fabien Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process. (English) Zbl 1136.60049 Ann. Appl. Probab. 18, No. 2, 379-426 (2008). MSC: 60H35 60H10 60J75 60F05 PDF BibTeX XML Cite \textit{F. Panloup}, Ann. Appl. Probab. 18, No. 2, 379--426 (2008; Zbl 1136.60049) Full Text: DOI arXiv OpenURL
Clément, Emmanuelle; Kohatsu-Higa, Arturo; Lamberton, Damien A duality approach for the weak approximation of stochastic differential equations. (English) Zbl 1123.60053 Ann. Appl. Probab. 16, No. 3, 1124-1154 (2006). Reviewer: Shizan Fang (Dijon) MSC: 60H35 60H07 60H10 65C30 PDF BibTeX XML Cite \textit{E. Clément} et al., Ann. Appl. Probab. 16, No. 3, 1124--1154 (2006; Zbl 1123.60053) Full Text: DOI arXiv OpenURL
Kebaier, Ahmed Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing. (English) Zbl 1099.65011 Ann. Appl. Probab. 15, No. 4, 2681-2705 (2005). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 65C30 65C05 62P05 60H10 60H35 60F05 91G20 91G60 65L70 65L06 34F05 PDF BibTeX XML Cite \textit{A. Kebaier}, Ann. Appl. Probab. 15, No. 4, 2681--2705 (2005; Zbl 1099.65011) Full Text: DOI arXiv OpenURL
Mora, Carlos M. Numerical solution of conservative finite-dimensional stochastic Schrödinger equations. (English) Zbl 1083.60058 Ann. Appl. Probab. 15, No. 3, 2144-2171 (2005). Reviewer: Grigori N. Milstein (Ekaterinburg) MSC: 60H35 60H10 65C30 PDF BibTeX XML Cite \textit{C. M. Mora}, Ann. Appl. Probab. 15, No. 3, 2144--2171 (2005; Zbl 1083.60058) Full Text: DOI arXiv OpenURL
Zhang, Jianfeng A numerical scheme for BSDEs. (English) Zbl 1056.60067 Ann. Appl. Probab. 14, No. 1, 459-488 (2004). Reviewer: Evelyn Buckwar (Berlin) MSC: 60H35 65C30 60H20 34F05 PDF BibTeX XML Cite \textit{J. Zhang}, Ann. Appl. Probab. 14, No. 1, 459--488 (2004; Zbl 1056.60067) Full Text: DOI OpenURL
Müller-Gronbach, Thomas The optimal uniform approximation of systems of stochastic differential equations. (English) Zbl 1019.65009 Ann. Appl. Probab. 12, No. 2, 664-690 (2002). Reviewer: Eckhard Platen (Broadway) MSC: 65C30 60H10 60H35 65L06 34F05 PDF BibTeX XML Cite \textit{T. Müller-Gronbach}, Ann. Appl. Probab. 12, No. 2, 664--690 (2002; Zbl 1019.65009) Full Text: DOI OpenURL
Capiński, Marek; Cutland, Nigel J. Stochastic Euler equations on the torus. (English) Zbl 0952.35164 Ann. Appl. Probab. 9, No. 3, 688-705 (1999). Reviewer: Jan Seidler (Praha) MSC: 35R60 35Q05 26E35 60H15 PDF BibTeX XML Cite \textit{M. Capiński} and \textit{N. J. Cutland}, Ann. Appl. Probab. 9, No. 3, 688--705 (1999; Zbl 0952.35164) Full Text: DOI OpenURL
Asmussen, Søren; Glynn, Peter; Pitman, Jim Discretization error in simulation of one-dimensional reflecting Brownian motion. (English) Zbl 0853.65147 Ann. Appl. Probab. 5, No. 4, 875-896 (1995). Reviewer: R.Theodorescu (Quebec) MSC: 65C99 60H10 60J65 PDF BibTeX XML Cite \textit{S. Asmussen} et al., Ann. Appl. Probab. 5, No. 4, 875--896 (1995; Zbl 0853.65147) Full Text: DOI OpenURL
Capiński, Marek; Cutland, Nigel J. The Euler equation: A uniform nonstandard construction of a global flow, invariant measures and statistical solutions. (English) Zbl 0779.35084 Ann. Appl. Probab. 3, No. 1, 212-227 (1993). Reviewer: W.Kotarski (Katowice) MSC: 35Q05 28E05 35R60 58J70 26E35 60H15 PDF BibTeX XML Cite \textit{M. Capiński} and \textit{N. J. Cutland}, Ann. Appl. Probab. 3, No. 1, 212--227 (1993; Zbl 0779.35084) Full Text: DOI OpenURL