Projected Particle Methods for Solving McKean--Vlasov Stochastic Differential Equations
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Numerical Analysis,Applied Mathematics,Computational Mathematics
Link
https://epubs.siam.org/doi/pdf/10.1137/17M1111024
Reference14 articles.
1. Rate of convergence of a particle method to the solution of the McKean--Vlasov equation
2. On conditional McKean Lagrangian stochastic models
3. Expansion for the Moments of a Nonlinear Stochastic Model
4. A certain class of diffusion processes associated with nonlinear parabolic equations
5. Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
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1. Convergence analysis of an explicit method and its random batch approximation for the McKean–Vlasov equations with non-globally Lipschitz conditions;ESAIM: Mathematical Modelling and Numerical Analysis;2024-03
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3. Euler simulation of interacting particle systems and McKean–Vlasov SDEs with fully super-linear growth drifts in space and interaction;IMA Journal of Numerical Analysis;2023-05-11
4. Semiparametric estimation of McKean–Vlasov SDEs;Annales de l'Institut Henri Poincaré, Probabilités et Statistiques;2023-02-01
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