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

DOI10.1007/s11222-017-9771-5zbMath1387.65004arXiv1610.09934OpenAlexW2544951676WikidataQ59613457 ScholiaQ59613457MaRDI QIDQ1704027

Raúl Tempone, Abdul-Lateef Haji-Ali

Publication date: 8 March 2018

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.09934

zbMATH Keywords

Monte Carlostochastic differential equationsweak approximationsparse approximationcombination techniquemultilevel Monte Carloparticle systemsmean-fieldMcKean-Vlasovmulti-index Monte Carlo

Mathematics Subject Classification ID

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

Related Items (12)

A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps ⋮ Random-batch method for multi-species stochastic interacting particle systems ⋮ Importance sampling for McKean-Vlasov SDEs ⋮ Accelerated Simulation of Boltzmann-BGK Equations near the Diffusive Limit with Asymptotic-Preserving Multilevel Monte Carlo ⋮ Random batch methods (RBM) for interacting particle systems ⋮ Antithetic multilevel sampling method for nonlinear functionals of measure ⋮ New particle representations for ergodic McKean-Vlasov SDEs ⋮ Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean ⋮ Improved Efficiency of a Multi-Index FEM for Computational Uncertainty Quantification ⋮ Multi-index ensemble Kalman filtering ⋮ Iterative multilevel particle approximation for McKean-Vlasov SDEs ⋮ Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary

Uses Software

• GitHub
• mimclib
• GNU parallel

Cites Work

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