Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems

DOI10.1093/IMANUM/DRAD064MaRDI QIDQ6631438

C. Reisinger, Panpan Ren, Jianhai Bao, Wolfgang Stockinger

Publication date: 1 November 2024

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Related Items (2)

Antithetic multilevel Monte Carlo method for approximations of SDEs with non-globally Lipschitz continuous coefficients ⋮ An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients

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