Multilevel Monte Carlo EM scheme for MV-SDEs with small noise

DOI10.3934/NACO.2024013MaRDI QIDQ6668661

Ulises Botija-Munoz, Chenggui Yuan

Publication date: 22 January 2025

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

Euler-Maruyama schememultilevel Monte Carlo methodMcKean-Vlasov stochastic differential equations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• A stochastic particle method for the McKean-Vlasov and the Burgers equation
• Explicit numerical approximations for McKean-Vlasov neutral stochastic differential delay equations

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