Antithetic multilevel sampling method for nonlinear functionals of measure

DOI10.1214/20-AAP1614zbMath1479.60005arXiv1903.07063MaRDI QIDQ2240845

Alvin Tse, Lukasz Szpruch

Publication date: 4 November 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.07063

zbMATH Keywords

propagation of chaosMcKean-Vlasov SDEsWasserstein calculusantithetic multi-level Monte Carlo estimator

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Convergence of probability measures (60B10)

Related Items (2)

Central limit theorem over non-linear functionals of empirical measures with applications to the mean-field fluctuation of interacting diffusions ⋮ Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift

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