Iterative Multilevel density estimation for McKean-Vlasov SDEs via projections

arXiv1909.11717MaRDI QIDQ6325987FDOQ6325987

Shuren Tan, Lukasz Szpruch, D. Belomestny

Publication date: 25 September 2019

Abstract: In this paper, we present a generic methodology for the efficient numerical approximation of the density function of the McKean-Vlasov SDEs. The weak error analysis for the projected process motivates us to combine the iterative Multilevel Monte Carlo method for McKean-Vlasov SDEs cite{szpruch2019} with non-interacting kernels and projection estimation of particle densities cite{belomestny2018projected}. By exploiting smoothness of the coefficients for McKean-Vlasov SDEs, in the best case scenario (i.e $C^{infty}$ for the coefficients), we obtain the complexity of order $O(epsilo{n}^{-2}|logepsilon{|}^4)$ for the approximation of expectations and $O(epsilo{n}^{-2}|logepsilon{|}^5)$ for density estimation.

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