Importance sampling for McKean-Vlasov SDEs

DOI10.1016/j.amc.2023.128078arXiv1803.09320OpenAlexW2794725563MaRDI QIDQ6106020

Gonçalo dos Reis, Greig Smith, Peter Tankov

Publication date: 27 June 2023

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.09320

zbMATH Keywords

importance samplingMonte Carlo simulationlarge deviationsinteracting particle systemsMcKean-Vlasov stochastic differential equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)

Related Items (1)

Importance sampling for the empirical measure of weakly interacting diffusions

Cites Work

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