Iterative multilevel particle approximation for McKean-Vlasov SDEs

DOI10.1214/18-AAP1452MaRDI QIDQ2330461zbMATH OpenWikidataFDO

Authors Lukasz Szpruch, Shuren Tan, Alvin Tse

Publication date 22 October 2019

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

Full work available at URL https://arxiv.org/abs/1706.00907, https://projecteuclid.org/euclid.aoap/1563869042

zbMATH Keywords

stochastic interacting particle systemsnonlinear Fokker-Planck equationsMcKean-Vlasov SDEsprobabilistic numerical analysis

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(16)

• Semi-implicit Milstein approximation scheme for non-colliding particle systems
• A numerical approach to Kolmogorov equation in high dimension based on Gaussian analysis
• Mean-field Langevin dynamics and energy landscape of neural networks
• Accelerated Simulation of Boltzmann-BGK Equations near the Diffusive Limit with Asymptotic-Preserving Multilevel Monte Carlo
• Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems
• Multilevel Picard approximations for McKean-Vlasov stochastic differential equations
• A Fourier-based Picard-iteration approach for a class of McKean-Vlasov SDEs with Lévy jumps
• Multi-index antithetic stochastic gradient algorithm
• Rectified deep neural networks overcome the curse of dimensionality when approximating solutions of McKean-Vlasov stochastic differential equations
• Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary
• Meta variance reduction for Monte Carlo estimation of energetic particle confinement during stellarator optimization
• Double-loop importance sampling for McKean-Vlasov stochastic differential equation
• Iterative Particle Approximation for McKean-Vlasov SDEs with application to Multilevel Monte Carlo estimation
• Multilevel importance sampling for rare events associated with the McKean-Vlasov equation
• New particle representations for ergodic McKean-Vlasov SDEs
• Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients

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