Iterative Particle Approximation for McKean-Vlasov SDEs with application to Multilevel Monte Carlo estimation

DOI10.1214/18-AAP1452arXiv1706.00907WikidataQ127459583 ScholiaQ127459583MaRDI QIDQ6287441

Lukasz Szpruch, Shuren Tan, Alvin Tse

Publication date: 3 June 2017

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)

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