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math.NA2023
Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent
Ankush Agarwal, Andrea Amato, Goncalo dos Reis +1
We propose a novel approach to numerically approximate McKean-Vlasov stochastic differential equations (MV-SDE) using stochastic gradient descent (SGD) while avoiding the use of in…
math.NA2022★ 4 cited
Numerical solution of kinetic SPDEs via stochastic Magnus expansion
Kevin Kamm, Stefano Pagliarani, Andrea Pascucci
In this paper, we show how the Itô-stochastic Magnus expansion can be used to efficiently solve stochastic partial differential equations (SPDE) with two space variables numericall…