Simulation of McKean–Vlasov SDEs with super-linear growth
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Publication:5024899
DOI10.1093/imanum/draa099zbMath1481.65020arXiv1808.05530OpenAlexW3126762542MaRDI QIDQ5024899
Gonçalo dos Reis, Stefan Engelhardt, Greig Smith
Publication date: 27 January 2022
Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1808.05530
Monte Carlo simulationinteracting particle systemtamingMcKean-Vlasov stochastic differential equationimplicit and explicit schemesstochastic neuron networks
Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)
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