A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations
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Publication:2141250
DOI10.1016/j.amc.2022.127180OpenAlexW4224982733WikidataQ115361054 ScholiaQ115361054MaRDI QIDQ2141250
Xingyuan Chen, Gonçalo dos Reis
Publication date: 23 May 2022
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2105.09688
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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