Iterative multilevel particle approximation for McKean-Vlasov SDEs (Q2330461): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Iterative multilevel particle approximation for McKean-Vlasov SDEs	scientific article

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scholarly article

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Iterative multilevel particle approximation for McKean-Vlasov SDEs (English)

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The Annals of Applied Probability

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publication date

22 October 2019

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full work available at URL

https://arxiv.org/abs/1706.00907

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https://projecteuclid.org/euclid.aoap/1563869042

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zbMATH Keywords

McKean-Vlasov SDEs

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stochastic interacting particle systems

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nonlinear Fokker-Planck equations

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probabilistic numerical analysis

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MaRDI profile type

MaRDI publication profile

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Rate of convergence of a particle method to the solution of the McKean-Vlasov equation

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Optimal rate of convergence of a stochastic particle method to solutions of 1D viscous scalar conservation laws

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COMPARISON OF A STOCHASTIC PARTICLE METHOD AND A FINITE VOLUME DETERMINISTIC METHOD APPLIED TO BURGERS EQUATION

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Rate of convergence of a particle method for the solution of a 1D viscous scalar conservation law in a bounded interval

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Convergence rate for the approximation of the limit law of weakly interacting particles: Application to the Burgers equation

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A stochastic particle method for the McKean-Vlasov and the Burgers equation

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Mean-field stochastic differential equations and associated PDEs

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Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives

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Control of McKean-Vlasov dynamics versus mean field games

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A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria

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Global solvability of a networked integrate-and-fire model of McKean-Vlasov type

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Particle systems with a singular mean-field self-excitation. Application to neuronal networks

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On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

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Multilevel Monte Carlo Path Simulation

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Multilevel Monte Carlo Approximation of Distribution Functions and Densities

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Multilevel and multi-index Monte Carlo methods for the McKean-Vlasov equation

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Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing

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SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES

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Multilevel Richardson-Romberg extrapolation

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A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS

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Turbulent Flows

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Expansion of the global error for numerical schemes solving stochastic differential equations

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Identifiers

10.1214/18-AAP1452

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

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