A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations

DOI10.1214/aoap/1042765665zbMath1026.60110OpenAlexW2049364665MaRDI QIDQ1872347

Olivier Vaillant, Denis Talay

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1042765665

zbMATH Keywords

McKean-Vlasov equationstatistical solutionsstochastic particles methods

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic particle methods (65C35)

Related Items (19)

Numerical methods for mean-field stochastic differential equations with jumps ⋮ A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations ⋮ Mean-field backward stochastic differential equations: A limit approach ⋮ Statistical deconvolution of the free Fokker-Planck equation at fixed time ⋮ Analytical approximations of non-linear SDEs of McKean-Vlasov type ⋮ A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps ⋮ \(L^p\)-error estimates for numerical schemes for solving certain kinds of mean-field backward stochastic differential equations ⋮ Numerical schemes for fully coupled mean-field forward backward stochastic differential equations ⋮ Mean-field equations for stochastic firing-rate neural fields with delays: derivation and noise-induced transitions ⋮ Probabilistic interpretation for Sobolev solutions of McKean-Vlasov partial differential equations ⋮ A wavelet particle approximation for McKean-Vlasov and 2D-Navier-Stokes statistical solutions ⋮ Almost automorphic solutions for mean-field stochastic differential equations driven by fractional Brownian motion ⋮ Existence, uniqueness and convergence of a particle approximation for the Adaptive Biasing Force process ⋮ Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs ⋮ Mean-field backward stochastic differential equations and related partial differential equations ⋮ Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations ⋮ Large deviations of mean-field stochastic differential equations with jumps ⋮ A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations ⋮ Coupling index and stocks

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