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Density functions for the overdamped generalized Langevin equation and its Euler--Maruyama method: smoothness and convergence

Dai, Xinjie et al.
arXiv (All) · Papers
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numerical-analysis
This paper focuses on studying the convergence rate of the density function of the Euler--Maruyama (EM) method, when applied to the overdamped generalized Langevin equation with fractional noise which serves as an important model in many fields. Firstly, we give an improved upper bound estimate for
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