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08/24/2022
Higher-order adaptive methods for exit times of Itô diffusions
We construct a higher-order adaptive method for strong approximations of...
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08/02/2021
Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling
Multilevel Monte Carlo (MLMC) has become an important methodology in app...
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04/15/2021
Multi-index ensemble Kalman filtering
In this work we marry multi-index Monte Carlo with ensemble Kalman filte...
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01/04/2021
A simple approach to proving the existence, uniqueness, and strong and weak convergence rates for a broad class of McKean–Vlasov equations
By employing a system of interacting stochastic particles as an approxim...
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02/02/2020
