Importance sampling for McKean-Vlasov SDEs
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Publication:6106020
DOI10.1016/j.amc.2023.128078arXiv1803.09320OpenAlexW2794725563MaRDI QIDQ6106020
Gonçalo dos Reis, Greig Smith, Peter Tankov
Publication date: 27 June 2023
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.09320
importance samplingMonte Carlo simulationlarge deviationsinteracting particle systemsMcKean-Vlasov stochastic differential equation
Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)
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Cites Work
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