SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Importance sampling for McKean-Vlasov SDEs
16 references·1 citing·39 second hop
Importance sampling for McKean-Vlasov SDEs (2023)Importance sampling for McKean-Vlasov SDEsIterative multilevel particle approximation for McKean–Vlasov SDEs (2019)Iterative multilevel particle…Freidlin–Wentzell LDP in path space for McKean–Vlasov equations and the functional iterated logarithm law (2019)Freidlin–Wentzell LDP in path…Probabilistic Theory of Mean Field Games with Applications I (2018)Probabilistic Theory of Mean …Multilevel and Multi-index Monte Carlo methods for the McKean–Vlasov equation (2017)Multilevel and Multi-index Mo…Mean-field stochastic differential equations and associated PDEs (2017)Mean-field stochastic differe…Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications (2016)Lectures on BSDEs, Stochastic…Sample path Large Deviations and optimal importance sampling for stochastic volatility models (2009)Sample path Large Deviations …Stochastic differential equations and applications (2008)Stochastic differential equat…Optimal importance sampling with explicit formulas in continuous time (2007)Optimal importance sampling w…Importance Sampling, Large Deviations, and Differential Games (2004)Importance Sampling, Large De…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options (1999)Asymptotically Optimal Import…Weak rate of convergence for an Euler scheme of nonlinear SDE’s (1997)Weak rate of convergence for …Small noise expansion and importance sampling (1997)Small noise expansion and imp…A stochastic particle method for the McKean-Vlasov and the Burgers equation (1997)A stochastic particle method …Variance Reduction for Simulated Diffusions (1994)Variance Reduction for Simula…Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise (2020)Well-posedness and tamed Eule…Mean field games (2007)Mean-field backward stochastic differential equations and related partial differential equations (2009)Mean-field backward stochastic differential equations: A limit approach (2009)Bellman equation and viscosity solutions for mean-field stochastic control problem (2017)The Master Equation and the Convergence Problem in Mean Field Games (2019)A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria (2022)The existence of value in differential games (1972)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Fast simulation of rare events in queueing and reliability models (1995)Proceedings of the 2002 Winter Simulation Conference (2002)Efficient rare-event simulation for the maximum of heavy-tailed random walks (2008)Asymptotic robustness of estimators in rare-event simulation (2010)Brownian motion and stochastic calculus (1991)Brownian Motion and Stochastic Calculus (2007)The Pricing of Options and Corporate Liabilities (1973)Numerical solution of stochastic differential equations (1994)The law of the Euler scheme for stochastic differential equations (1996)The Euler scheme with irregular coefficients (2002)Numerical solution of stochastic differential equations (2016)A Theory of the Term Structure of Interest Rates (1985)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors (2002)Importance Sampling for Portfolio Credit Risk (2005)Simulation Modeling and Analysis (2016)Probabilistic Theory of Mean Field Games with Applications II (2018)Simulation of McKean–Vlasov SDEs with super-linear growth (2020)Approximations of McKean–Vlasov Stochastic Differential Equations with Irregular Coefficients (2021)Strong convergence of Euler–Maruyama schemes for McKean–Vlasov stochastic differential equations under local Lipschitz conditions of state variables (2021)Linear-Quadratic Mean Field Games (2015)Mean field game of controls and an application to trade crowding (2017)A Machine Learning Framework for Solving High-Dimensional Mean Field Game and Mean Field Control Problems (2019)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Modeling Term Structures of Defaultable Bonds (1999)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics (2016)On the convergence of closed-loop Nash equilibria to the mean field game limit (2020)
this work references cited by second hop

References

  • 2008Stochastic differential equations and applications4,653 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 2018Probabilistic Theory of Mean Field Games with Applications I559 cited
  • 2017Mean-field stochastic differential equations and associated PDEs297 cited
  • 1999Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options219 cited
  • 1997A stochastic particle method for the McKean-Vlasov and the Burgers equation203 cited
  • 2016Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications157 cited
  • 2004Importance Sampling, Large Deviations, and Differential Games147 cited
  • 1994Variance Reduction for Simulated Diffusions94 cited
  • 2019Freidlin–Wentzell LDP in path space for McKean–Vlasov equations and the functional iterated logarithm law76 cited
  • 2007Optimal importance sampling with explicit formulas in continuous time51 cited
  • 1997Small noise expansion and importance sampling38 cited
  • 2009Sample path Large Deviations and optimal importance sampling for stochastic volatility models33 cited
  • 2017Multilevel and Multi-index Monte Carlo methods for the McKean–Vlasov equation32 cited
  • 1997

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Weak rate of convergence for an Euler scheme of nonlinear SDE’s
27 cited
  • 2019Iterative multilevel particle approximation for McKean–Vlasov SDEs24 cited
  • Cited by

    • 2020Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise17 cited