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Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation

Abstract:

We address the approximation of functionals depending on a system of particles, described by stochastic differential equations (SDEs), in the mean-field limit when the number of particles approaches infinity. This problem is equivalent to estimating the weak solution of the limiting McKean-Vlasov SDE. To that end, our approach uses systems with finite numbers of particles and a time-stepping scheme. In this case, there are two discretization parameters: the number of time steps and the number...

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Publication status:
Published
Peer review status:
Peer reviewed

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
More from this funder
Name:
KAUST Strategic Research Initiative, Center for Uncertainty Quantification in Computational Sciences and Engineering
Funding agency for:
Tempone, R
Grant:
2584
Publisher:
Springer Verlag
Journal:
Statistics and Computing More from this journal
Volume:
28
Issue:
4
Pages:
923–935
Publication date:
2017-09-12
Acceptance date:
2017-07-31
DOI:
EISSN:
1573-1375
ISSN:
0960-3174
Pubs id:
pubs:722823
UUID:
uuid:1e529d93-9ddd-436d-8a5e-e458d0dcba15
Local pid:
pubs:722823
Source identifiers:
722823
Deposit date:
2017-08-20

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