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Iterative multilevel particle approximation for McKean–Vlasov SDEs
16 references·0 citing·41 second hop
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Application to neuronal networks (2015)Particle systems with a singu…Multilevel Monte Carlo Approximation of Distribution Functions and Densities (2015)Multilevel Monte Carlo Approx…Global solvability of a networked integrate-and-fire model of McKean–Vlasov type (2015)Global solvability of a netwo…Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives (2013)Multilevel Simulation of Func…Control of McKean–Vlasov dynamics versus mean field games (2012)Control of McKean–Vlasov dyna…Stochastic Differential Equations and Applications (2010)Stochastic Differential Equat…Stochastic differential equations and applications (2008)Stochastic differential equat…Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Statistical Romberg extrapolation: A new variance reduction method and applications to option pricing (2005)Statistical Romberg extrapola…Rate of convergence of a particle method to the solution of the McKean--Vlasov equation (2002)Rate of convergence of a part…Introduction to the Theory of Random Processes (2002)Introduction to the Theory of…A stochastic particle method for the McKean-Vlasov and the Burgers equation (1997)A stochastic particle method …Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesMean 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)Stochastic Integration and Differential Equations (1990)Monte Carlo methods for security pricing (1997)Asymptotic error distributions for the Euler method for stochastic differential equations (1998)On irregular functionals of SDEs and the Euler scheme (2009)Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients (2012)On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients (2020)Stochastic controls : Hamiltonian systems and HJB equations (1999)Controlled Markov Processes and Viscosity Solutions (2005)A probabilistic weak formulation of mean field games and applications (2015)Mean field games with common noise (2016)Brownian motion and stochastic calculus (1991)Brownian Motion and Stochastic Calculus (2007)Smoothing properties of McKean–Vlasov SDEs (2017)Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case (2021)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Monte Carlo Methods in Financial Engineering (2003)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Numerical solution of stochastic differential equations (2016)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)Stochastic Controls (1999)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Existence of a solution to an equation arising from the theory of Mean Field Games (2015)On the convergence of closed-loop Nash equilibria to the mean field game limit (2020)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)On limit laws for service processes in multi-channel systems (1967)A Basic Dynamic Routing Problem and Diffusion (1978)Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations (2021)A simplified treatment of the theory of optimal regulation of Brownian motion (1991)On solutions of backward stochastic differential equations with jumps and applications (1997)Investment, consumption, and hedging under incomplete markets (2007)Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency (2013)Boundary conditions for the single-factor term structure equation (2016)An overview on uncertainty quantification and probabilistic learning on manifolds in multiscale mechanics of materials (2023)
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  • 2017Multilevel Richardson–Romberg extrapolation

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48 cited
  • 2013Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives34 cited
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