Multilevel and multi-index Monte Carlo methods for the McKean-Vlasov equation (Q1704027)

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

    Statements

    title
    Multilevel and multi-index Monte Carlo methods for the McKean-Vlasov equation (English)
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    author
    Abdul-Lateef Haji-Ali
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    Raúl Tempone
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    publication date
    8 March 2018
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    zbMATH Keywords
    multi-index Monte Carlo
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    multilevel Monte Carlo
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    Monte Carlo
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    particle systems
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    McKean-Vlasov
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    mean-field
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    stochastic differential equations
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    weak approximation
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    sparse approximation
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    combination technique
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    describes a project that uses
    GitHub
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    GNU parallel
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    mimclib
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    cites work
    Q3504233
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    Q4433869
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    Q4004325
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    Identifiers

    Mathematics Subject Classification ID
    65C05
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    65C30
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    65C35
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    zbMATH DE Number
    6848124
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    OpenAlex ID
    W2544951676
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    Wikidata QID
    Q59613457
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    arXiv ID
    1610.09934
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