1. Dynamical Low-Rank Approximations for Kalman Filtering
   2025/09/14 by Nobile, Fabio, Trindade, Thomas Trigo · 2 citations
   #60G35 #60H35 #65C30 #65C35 #FOS: Mathematics #Numerical Analysis (math.NA)
2. A Langevin sampling algorithm inspired by the Adam optimizer
   2025/04/26 by Leimkuhler, Benedict, Lohmann, René, Whalley, Peter · 3 citations
   #60J22 #62-08 #65C05 #65C30 #65C40 #82C31 #Computation (stat.CO) #FOS: Computer and information sciences #Machine Learning (cs.LG) #Machine Learning (stat.ML)
3. Stochastic numerical approximation for nonlinear Fokker-Planck equations with singular kernels
   2025/04/08 by Cazacu, Nicoleta · 1 citation
   #60H30 #60H35 #60K35 #65C30 #65C35 #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR)
4. Strong uniform Wong--Zakai approximations of Lévy-driven Marcus SDEs
   2025/01/31 by Pavlyukevich, Ilya, Thipyarat, Sooppawat · 1 citation
   #60G51 #60H10 #60H35 #65C30 #FOS: Mathematics #Probability (math.PR)
5. Randomised Euler-Maruyama method for SDEs with Hölder continuous drift coefficient
   2025/01/26 by Jianhai Bao, Bao, Jianhai, Yue Wu +1 · 2 citations
   Computer Science · Economics, Econometrics and Finance · #60H10 #60H35 #60L90 #65C05 #65C30 #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic Gradient Optimization Techniques #Stochastic processes and financial applications
6. Rough differential equations for volatility
   2024/12/30 by Bonesini, Ofelia, Ferrucci, Emilio, Gasteratos, Ioannis +1 · 3 citations
   #60G22 #60L20 #60L90 #65C30 #91G20 #91G60 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)
7. Quantum Algorithms for Stochastic Differential Equations: A Schrödingerisation Approach
   2024/12/19 by Shi Jin, Jin, Shi, Nana Liu +2 · 2 citations
   Computer Science · #60H35 #65C30 #68Q12 #81P68 #FOS: Physical sciences #Neural Networks and Applications #Quantum Computing Algorithms and Architecture #Quantum Physics (quant-ph)
8. Pathwise uniform convergence of numerical approximations for a two-dimensional stochastic Navier-Stokes equation with no-slip boundary conditions
   2024/12/05 by Binjie Li, Xiaoping Xie, Li, Binjie +3 · 1 citation
   Economics, Econometrics and Finance · Engineering · #60H15 #60H35 #65C30 #65M15 #FOS: Mathematics #Fluid Dynamics and Turbulent Flows #Numerical Analysis (math.NA) #Stochastic processes and financial applications
9. Strong convergence of path sensitivities
   2024/11/24 by Giles, Michael B. · 1 citation
   #65C05 #65C30 #FOS: Mathematics #Numerical Analysis (math.NA)
10. Milstein-type schemes for McKean-Vlasov SDEs driven by Brownian motion and Poisson random measure (with super-linear coefficients)
    2024/11/18 by Biswas, Sani, Kumar, Chaman, Reisinger, Christoph +1 · 3 citations
    #60H35 #65C05 #65C30 #65C35 #FOS: Mathematics #Probability (math.PR)
11. Geometric Ergodicity and Strong Error Estimates for Tamed Schemes of Super-linear SODEs
    2024/11/09 by Liu, Zhihui, Wu, Xiaoming · 5 citations
    #60H10 #60H35 #65C30 #FOS: Mathematics #Numerical Analysis (math.NA)
12. Quantitative approximation of stochastic kinetic equations: from discrete to continuum
    2024/09/09 by Hao, Zimo, Lê, Khoa, Ling, Chengcheng · 1 citation
    #35B65 #35K65 #35R05 #60H10 #60L90 #65C30 #Analysis of PDEs (math.AP) #FOS: Mathematics #Numerical Analysis (math.NA) #Primary 60H35 #Probability (math.PR) #Secondary 60H50
13. An exponential map free implicit midpoint method for stochastic Lie-Poisson systems
    2024/08/29 by Sagy Ephrati, Ephrati, Sagy, Erik Jansson +5 · 1 citation
    Engineering · Mathematics · Physics and Astronomy · #37M15 #60H10 #60H35 #65C30 #65P10 #Advanced Numerical Analysis Techniques #FOS: Mathematics #Model Reduction and Neural Networks #Numerical Analysis (math.NA) #Numerical methods for differential equations
14. Data-driven Effective Modeling of Multiscale Stochastic Dynamical Systems
    2024/08/27 by Yuan Chen, Chen, Yuan, Dongbin Xiu +1 · 1 citation
    Computer Science · #60H10 #60H35 #62M45 #65C30 #Advanced Mathematical Modeling in Engineering #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Numerical Analysis (math.NA)
15. Learning Stochastic Reduced Models from Data: A Nonintrusive Approach
    2024/07/08 by Freitag, M. A., Nicolaus, J. M., Redmann, M. · 2 citations
    #60G51 #60H10 #60H35 #65C30 #FOS: Mathematics #Numerical Analysis (math.NA)
16. Strong convergence rates for long-time approximations of SDEs with non-globally Lipschitz continuous coefficients
    2024/06/15 by Wu, Xiaoming, Wang, Xiaojie · 4 citations
    #60H35 #65C30 #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR)
17. Inference for the stochastic FitzHugh-Nagumo model from real action potential data via approximate Bayesian computation
    2024/05/28 by Samson, Adeline, Tamborrino, Massimiliano, Tubikanec, Irene · 2 citations
    #60H10 #60H35 #65C30 #Computation (stat.CO) #Dynamical Systems (math.DS) #FOS: Computer and information sciences #FOS: Mathematics
18. Skew-symmetric schemes for stochastic differential equations with non-Lipschitz drift: an unadjusted Barker algorithm
    2024/05/23 by Samuel Livingstone, Iguchi, Yuga, Nikolas Nüsken +6 · 1 citation
    Economics, Econometrics and Finance · Engineering · Mathematics · #60H35 #65C05 #65C30 #65C40 #Computation (stat.CO) #FOS: Computer and information sciences #FOS: Mathematics #Fluid Dynamics and Turbulent Flows #Mathematical Biology Tumor Growth #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications
19. The fast committor machine: Interpretable prediction with kernels
    2024/05/16 by Aristoff, D., Johnson, M., Simpson, G. +1 · 2 citations
    #65C30 #65C40 #82C31 #82C32 #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Numerical Analysis (math.NA)
20. Adaptive deep density approximation for stochastic dynamical systems
    2024/05/05 by He, Junjie, Liao, Qifeng, Wan, Xiaoliang · 2 citations
    #34F05 #60H35 #62M45 #65C30 #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (stat.ML) #Numerical Analysis (math.NA)
21. Numerical integrators for confined Langevin dynamics
    2024/04/25 by Benedict Leimkuhler, Akash Sharma, Leimkuhler, B. +3 · 1 citation
    Biochemistry, Genetics and Molecular Biology · Computer Science · Physics and Astronomy · #37H10 #60H10 #60H35 #65C30 #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR) #Quantum Information and Cryptography #Spectroscopy Techniques in Biomedical and Chemical Research #Spectroscopy and Quantum Chemical Studies
22. A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations
    2024/04/12 by Lorenc Kapllani, Long Teng, Kapllani, Lorenc +1 · 3 citations
    Physics and Astronomy · #60H07 #65C30 #68T07 #91G20 #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Machine Learning (cs.LG) #Model Reduction and Neural Networks #Numerical Analysis (math.NA)
23. Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control
    2024/03/27 by Negyesi, Balint, Huang, Zhipeng, Oosterlee, Cornelis W. · 1 citation
    #65C05 #65C30 #93E20 #FOS: Mathematics #Numerical Analysis (math.NA) #Optimization and Control (math.OC)
24. Bicausal optimal transport for SDEs with irregular coefficients
    2024/03/15 by Hitz, Michaela, Robinson, Benjamin A. · 1 citation
    #49Q22 #60H10 #60H35 #65C30 #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR)
25. Generative Modelling with Tensor Train approximations of Hamilton--Jacobi--Bellman equations
    2024/02/23 by Sommer, David, Gruhlke, Robert, Kirstein, Max +2 · 1 citation
    #35F21 #35Q84 #62F15 #65C30 #65N75 #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Statistics Theory (math.ST)
26. A domain decomposition method for stochastic evolution equations
    2024/01/14 by Buckwar, Evelyn, Djurdjevac, Ana, Eisenmann, Monika · 1 citation
    #65C30 #65M55 #90C15 #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR)
27. Unbiased Kinetic Langevin Monte Carlo with Inexact Gradients
    2023/11/08 by Neil K. Chada, Benedict Leimkuhler, Chada, Neil K. +5 · 1 citation
    Computer Science · Mathematics · #62F15 #65C05 #65C30 #65C40 #Bayesian Methods and Mixture Models #Computation (stat.CO) #FOS: Computer and information sciences #FOS: Mathematics #Gaussian Processes and Bayesian Inference #Machine Learning (stat.ML) #Markov Chains and Monte Carlo Methods #Methodology (stat.ME) #Numerical Analysis (math.NA)
28. Deep Learning Based on Randomized Quasi-Monte Carlo Method for Solving Linear Kolmogorov Partial Differential Equation
    2023/10/27 by Ji‐Chang Xiao, Fengjiang Fu, Xiao, Jichang +3 · 1 citation
    Mathematics · #65C30 #65D30 #65N15 #68T07 #FOS: Mathematics #Mathematical Approximation and Integration #Numerical Analysis (math.NA) #Statistical and numerical algorithms
29. Error analysis for empirical risk minimization over clipped ReLU networks in solving linear Kolmogorov partial differential equations
    2023/10/19 by Xiao, Jichang, Wang, Xiaoqun · 1 citation
    #60H30 #62M45 #65C30 #68T07 #FOS: Mathematics #Numerical Analysis (math.NA)
30. Monte-Carlo/Moments micro-macro Parareal method for unimodal and bimodal scalar McKean-Vlasov SDEs
    2023/10/17 by Bossuyt, Ignace, Vandewalle, Stefan, Samaey, Giovanni · 1 citation
    #60H35 #65C30 #65C35 #68Q10 #Computation (stat.CO) #Computational Physics (physics.comp-ph) #FOS: Computer and information sciences #FOS: Mathematics #FOS: Physical sciences #Numerical Analysis (math.NA)

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