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Multi-level Monte Carlo for stochastically modeled chemical kinetic systems
computational complexity diffusion Gillespie Langevin next reaction method random time change tau-leaping variance
2011/9/1
Abstract: A chemical reaction network involves multiple reactions and species. The simplest stochastic models of such networks treat the system as a continuous time Markov chain with the state being t...
A regression Monte-Carlo method for Backward Doubly Stochastic Differential Equations
regression Monte-Carlo method Stochastic Differential Equations Probability
2011/8/30
Abstract: This paper extends the idea of E.Gobet, J.P.Lemor and X.Warin from the setting of Backward Stochastic Differential Equations to that of Backward Doubly Stochastic Differential equations. We ...
Weak Convergence of Markov Chain Monte Carlo Methods and its Application to Regular Gibbs Sampler
Ergodicity Gibbs sampler Large sample theory Markov chain
2011/3/2
In this paper, we introduce the notion of efficiency (consistency) and examine some asymptotic properties ofMarkov chain Monte Carlo methods. We apply these results to the Gibbs sampler for independen...