Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean–Vlasov equations and interacting particle systems by Bao, J, Reisinger, C, Ren, P, Stockinger, W

“…In this paper, we first derive Milstein schemes for an interacting particle system associated with point delay McKean–Vlasov stochastic differential equations, possibly with a drift term exhibiting super-linear growth in the state component. …”

First order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems by Bao, J, Reisinger, C, Ren, P, Stockinger, W

“…In this paper, we derive fully implementable first order time-stepping schemes for McKean–Vlasov stochastic differential equations (McKean–Vlasov SDEs), allowing for a drift term with super-linear growth in the state component. …”

An adaptive Euler–Maruyama scheme for McKean–Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh–Nagumo model by Reisinger, C, Stockinger, W

“…In this paper, we introduce fully implementable, adaptive Euler–Maruyama schemes for McKean–Vlasov stochastic differential equations (SDEs) assuming only a standard monotonicity condition on the drift and diffusion coefficients but no global Lipschitz continuity in the state variable for either, while global Lipschitz continuity is required for the measure component. …”

Linear convergence of a policy gradient method for some finite horizon continuous time control problems by Reisinger, C, Stockinger, W, Zhang, Y

“…The proof exploits careful regularity estimates of backward stochastic differential equations.…”

Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift by Leobacher, G, Reisinger, C, Stockinger, W

“…In this paper, we first establish well-posedness results for one-dimensional McKean–Vlasov stochastic differential equations (SDEs) and related particle systems with a measure-dependent drift coefficient that is discontinuous in the spatial component, and a diffusion coefficient which is a Lipschitz function of the state only. …”

Well-posedness and tamed schemes for McKean-Vlasov equations with common noise by Kumar, C, Neelima, Reisinger, C, Stockinger, W

“…In this paper, we first establish well-posedness of McKean–Vlasov stochastic differential equations (McKean–Vlasov SDEs) with common noise, possibly with coefficients of super-linear growth in the state variable. …”

A posteriori error estimates for fully coupled McKean–Vlasov forward-backward SDEs by Reisinger, C, Stockinger, W, Zhang, Y

“…Fully coupled McKean–Vlasov forward-backward stochastic differential equations (MV-FBSDEs) arise naturally from large population optimization problems. …”