Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean
In this paper, we prove that the weak error between a stochastic differential equation with nonlinearity in the sense of McKean given by moments and its approximation by the Euler discretization with time-step h of a system of N interacting particles is 𝒪(N-1+h). We provide numerical experiments con...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
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/proc196509.pdf |