42 citations · 87 across the 17 of their papers we have counts for
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A posteriori error estimates for fully coupled McKean-Vlasov forward-backward SDEs
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
Fully coupled McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs) arise naturally from large population optimization problems. Judging the quality of given…
An adaptive Euler-Maruyama scheme for McKean-Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model
Christoph Reisinger, Wolfgang Stockinger
In this paper, we introduce adaptive Euler-Maruyama schemes for McKean-Vlasov stochastic differential equations (SDEs) assuming only a standard monotonicity condition on the drift…
Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems
Jianhai Bao, Christoph Reisinger, Panpan Ren +1
In this paper, we first derive Milstein schemes for an interacting particle system associated with point delay McKean-Vlasov stochastic differential equations (McKean-Vlasov SDEs),…