New particle representations for ergodic McKean-Vlasov SDEs
The aim of this paper is to introduce several new particle representations for ergodic McKean-Vlasov SDEs. We construct new algorithms by leveraging recent progress in weak convergence analysis of interacting particle system. We present detailed analysis of errors and associated costs of various est...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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EDP Sciences
2019-01-01
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| Series: | ESAIM: Proceedings and Surveys |
| Online Access: | https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196504.pdf |
| _version_ | 1797972009422946304 |
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| author | AlRachid Houssam Bossy Mireille Ricci Cristiano Szpruch Lukasz |
| author_facet | AlRachid Houssam Bossy Mireille Ricci Cristiano Szpruch Lukasz |
| author_sort | AlRachid Houssam |
| collection | DOAJ |
| description | The aim of this paper is to introduce several new particle representations for ergodic McKean-Vlasov SDEs. We construct new algorithms by leveraging recent progress in weak convergence analysis of interacting particle system. We present detailed analysis of errors and associated costs of various estimators, highlighting key differences between long-time simulations of linear (classical SDEs) versus non-linear (Mckean-Vlasov SDEs) process. |
| first_indexed | 2024-04-11T03:40:35Z |
| format | Article |
| id | doaj.art-04ffa7630b8943ab915f80675601799b |
| institution | Directory Open Access Journal |
| issn | 2267-3059 |
| language | English |
| last_indexed | 2024-04-11T03:40:35Z |
| publishDate | 2019-01-01 |
| publisher | EDP Sciences |
| record_format | Article |
| series | ESAIM: Proceedings and Surveys |
| spelling | doaj.art-04ffa7630b8943ab915f80675601799b2023-01-02T03:40:11ZengEDP SciencesESAIM: Proceedings and Surveys2267-30592019-01-0165688310.1051/proc/201965068proc196504New particle representations for ergodic McKean-Vlasov SDEsAlRachid HoussamBossy MireilleRicci CristianoSzpruch LukaszThe aim of this paper is to introduce several new particle representations for ergodic McKean-Vlasov SDEs. We construct new algorithms by leveraging recent progress in weak convergence analysis of interacting particle system. We present detailed analysis of errors and associated costs of various estimators, highlighting key differences between long-time simulations of linear (classical SDEs) versus non-linear (Mckean-Vlasov SDEs) process.https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196504.pdf |
| spellingShingle | AlRachid Houssam Bossy Mireille Ricci Cristiano Szpruch Lukasz New particle representations for ergodic McKean-Vlasov SDEs ESAIM: Proceedings and Surveys |
| title | New particle representations for ergodic McKean-Vlasov SDEs |
| title_full | New particle representations for ergodic McKean-Vlasov SDEs |
| title_fullStr | New particle representations for ergodic McKean-Vlasov SDEs |
| title_full_unstemmed | New particle representations for ergodic McKean-Vlasov SDEs |
| title_short | New particle representations for ergodic McKean-Vlasov SDEs |
| title_sort | new particle representations for ergodic mckean vlasov sdes |
| url | https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196504.pdf |
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