Double-loop importance sampling for McKean-Vlasov stochastic differential equation
DOI10.1007/s11222-024-10497-3MaRDI QIDQ6643237
Raúl Tempone, Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Shyam Mohan Subbiah Pillai
Publication date: 26 November 2024
Published in: Statistics and Computing (Search for Journal in Brave)
importance samplingrare eventsstochastic optimal controlMcKean-Vlasov stochastic differential equationdecoupling approachdouble-loop Monte Carlo method
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)
This page was built for publication: Double-loop importance sampling for McKean-Vlasov stochastic differential equation
