Results 21 to 30 of about 21,651 (169)

Stochastic averaging for the non-autonomous mixed stochastic differential equations with locally Lipschitz coefficients [PDF]

Statistics & Probability Letters, 2022
23 ...
Ruifang Wang, Yong Xu, Hongge Yue
openaire   +3 more sources

Strong Convergence of the Split-Step Theta Method for Stochastic Delay Differential Equations with Nonglobally Lipschitz Continuous Coefficients

Abstract and Applied Analysis, 2014
This paper is concerned with the convergence analysis of numerical methods for stochastic delay differential equations. We consider the split-step theta method for nonlinear nonautonomous equations and prove the strong convergence of the numerical ...
Chao Yue, Chengming Huang
doaj   +1 more source

The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate

Advances in Difference Equations, 2019
The Euler scheme is one of the standard schemes to obtain numerical approximations of solutions of stochastic differential equations (SDEs). Its convergence properties are well known in the case of globally Lipschitz continuous coefficients.
S. Göttlich, K. Lux, A. Neuenkirch
doaj   +1 more source

On the Differential Privacy of Bayesian Inference [PDF]

, 2015
We study how to communicate findings of Bayesian inference to third parties, while preserving the strong guarantee of differential privacy. Our main contributions are four different algorithms for private Bayesian inference on proba-bilistic graphical ...
Dimitrakakis, Christos, Rubinstein, Benjamin, Zhang, Zuhe   +2 more
core   +4 more sources

Invariant measures for monotone SPDE's with multiplicative noise term

, 2012
We study diffusion processes corresponding to infinite dimensional semilinear stochastic differential equations with local Lipschitz drift term and an arbitrary Lipschitz diffusion coefficient.
Es-Sarhir, A., Scheutzow, M., Tölle, J. M., van Gaans, O.   +3 more
core   +1 more source

Reflected BSDEs with default time and irregular obstacles

Comptes Rendus. Mathématique
In this note, we study reflected backward stochastic differential equations with a default time, where the reflecting obstacle is not necessarily right-continuous.
Elmansouri, Badr
doaj   +1 more source

STOCHASTIC VOLTERRA INTEGRAL EQUATIONS WITH JUMPS AND NON-LIPSCHITZ COEFFICIENTS

, 2020
Stochastic Volterra integral equations with jumps (SVIEs) have become very common and widely used in numerous branches of science, due to their connections with mathematical finance, biology, engineering and so on. In this paper, we apply the successive approximation method to investigate the existence and uniqueness of solutions to the SVIEs driven by
Khalaf, Anas Dheyab, Wang, Xiangjun
openaire   +2 more sources

The Modified Stochastic Theta Scheme for Mean-Field Stochastic Differential Equations Driven by G-Brownian Motion Under Local One-Sided Lipschitz Conditions

Mathematics
In this paper, we focus on mean-field stochastic differential equations driven by G-Brownian motion (G-MFSDEs for short) with a drift coefficient satisfying the local one-sided Lipschitz condition with respect to the state variable and the global ...
Pengfei Zhao, Haiyan Yuan
doaj   +1 more source

Adaptive Momentum for Neural Network Optimization [PDF]

, 2020
In this thesis, we develop a novel and efficient algorithm for optimizing neural networks inspired by a recently proposed geodesic optimization algorithm.
Rashidi, Zana
core  

A goodness‐of‐fit test for regression models with discrete outcomes

Canadian Journal of Statistics, EarlyView.
Abstract Regression models are often used to analyze discrete outcomes, but classical goodness‐of‐fit tests such as those based on the deviance or Pearson's statistic can be misleading or have little power in this context. To address this issue, we propose a new test, inspired by the work of Czado et al.
Lu Yang, Christian Genest, Johanna G. Nešlehová   +2 more
wiley   +1 more source