Iterative multilevel particle approximation for McKean-Vlasov SDEs
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Publication:2330461
DOI10.1214/18-AAP1452WikidataQ127459583 ScholiaQ127459583MaRDI QIDQ2330461FDOQ2330461
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
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stochastic interacting particle systemsnonlinear Fokker-Planck equationsMcKean-Vlasov SDEsprobabilistic numerical analysis
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
- Accelerated Simulation of Boltzmann-BGK Equations near the Diffusive Limit with Asymptotic-Preserving Multilevel Monte Carlo
- Mean-field Langevin dynamics and energy landscape of neural networks
- 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
- 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
- Iterative Particle Approximation for McKean-Vlasov SDEs with application to Multilevel Monte Carlo estimation
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