Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

First-order convergence of Milstein schemes for McKean–Vlasov equations and interacting particle systems

16 references·2 citing·29 second hop

FromToDepth

this work references cited by second hop

References

2016Numerical solution of stochastic differential equations5,001 cited
2007A Concise Course on Stochastic Partial Differential Equations803 cited
2018Probabilistic Theory of Mean Field Games with Applications I494 cited
2010Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients431 cited
2012Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients428 cited
2017Mean-field stochastic differential equations and associated PDEs275 cited
1997A stochastic particle method for the McKean-Vlasov and the Burgers equation203 cited
2013A note on tamed Euler approximations185 cited
2021Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations176 cited
2016Euler approximations with varying coefficients: The case of superlinearly growing diffusion coefficients174 cited
2022A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria147 cited
2001Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions133 cited
2019Freidlin–Wentzell LDP in path space for McKean–Vlasov equations and the functional iterated logarithm law76 cited
2002

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

Rate of convergence of a particle method to the solution of the McKean--Vlasov equation

55 cited

2020Adaptive Euler–Maruyama method for SDEs with nonglobally Lipschitz drift54 cited

2019On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients47 cited

Cited by

2021An adaptive Euler–Maruyama scheme for McKean–Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh–Nagumo model39 cited
2021On explicit Milstein-type scheme for McKean–Vlasov stochastic differential equations with super-linear drift coefficient35 cited