Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation
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 SD...
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| Format: | Journal article |
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Springer Verlag
2017
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