Multilevel and multi-index Monte Carlo methods for the McKean-Vlasov equation (Q1704027)
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scientific article; zbMATH DE number 6848124
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| English | Multilevel and multi-index Monte Carlo methods for the McKean-Vlasov equation |
scientific article; zbMATH DE number 6848124 |
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Multilevel and multi-index Monte Carlo methods for the McKean-Vlasov equation (English)
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8 March 2018
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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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0.7966630458831787
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0.7778125405311584
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0.7767998576164246
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0.7701378464698792
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