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math.NA2024
Forward Propagation of Low Discrepancy Through McKean-Vlasov Dynamics: From QMC to MLQMC
Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Raúl Tempone +1
This work develops a particle system addressing the approximation of McKean-Vlasov stochastic differential equations (SDEs). The novelty of the approach lies in involving low discr…
stat.CO2024
A Fast and Accurate Numerical Method for the Left Tail of Sums of Independent Random Variables
Nadhir Ben Rached, Håkon Hoel, Johannes Vincent Meo
We present a flexible, deterministic numerical method for computing left-tail rare events of sums of non-negative, independent random variables. The method is based on iterative nu…