Iterative multilevel particle approximation for McKean-Vlasov SDEs

DOI10.1214/18-AAP1452WikidataQ127459583 ScholiaQ127459583MaRDI QIDQ2330461

Alvin Tse, Shuren Tan, Lukasz Szpruch

Publication date: 22 October 2019

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

Full work available at URL: https://arxiv.org/abs/1706.00907

zbMATH Keywords

nonlinear Fokker-Planck equationsstochastic interacting particle systemsMcKean-Vlasov SDEsprobabilistic numerical analysis

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (9)

Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients ⋮ A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps ⋮ Meta variance reduction for Monte Carlo estimation of energetic particle confinement during stellarator optimization ⋮ Multi-index antithetic stochastic gradient algorithm ⋮ Accelerated Simulation of Boltzmann-BGK Equations near the Diffusive Limit with Asymptotic-Preserving Multilevel Monte Carlo ⋮ A numerical approach to Kolmogorov equation in high dimension based on Gaussian analysis ⋮ Multilevel Picard approximations for McKean-Vlasov stochastic differential equations ⋮ Mean-field Langevin dynamics and energy landscape of neural networks ⋮ Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary

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