A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations
type: Item
instance of: scholarly article
title: A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations
zbMATH Open document ID: 1026.60110
author: O. Vaillant
author: Denis Talay
published in: The Annals of Applied Probability
publication date: 2003-05-06T00:00:00Z
review text: The authors study McKean-Vlasov equations with random initial conditions. They give a probabilistic representation of the moments of the solutions in order to approximate them by a stochastic particle method. This method is based on random weights which are defined through nonparametric estimators of a regression function. It is both original and efficient, and the convergence rate is estimated in terms of the number of simulated particles and the time discretization step. Singular interactions as in Burgers equation or Navier-Stokes equations are unfortunately not in the scope of this work.
Mathematics Subject Classification ID: 60K35
Mathematics Subject Classification ID: 65C35
zbMATH DE Number: 1906140
zbMATH Keywords: stochastic particles methods
zbMATH Keywords: statistical solutions
zbMATH Keywords: McKean-Vlasov equation
reviewed by: Dominique Lépingle
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1042765665
OpenAlex ID: W2049364665
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DOI: 10.1214/AOAP/1042765665
description: scientific article; zbMATH DE number 1906140