51 citations · 83 across the 4 of their papers we have counts for
4 papers
Iterative Multilevel density estimation for McKean-Vlasov SDEs via projections
Denis Belomestny, Lukasz Szpruch, Shuren Tan
In this paper, we present a generic methodology for the efficient numerical approximation of the density function of the McKean-Vlasov SDEs. The weak error analysis for the project…
New particle representations for ergodic McKean-Vlasov SDEs
H. AlRachid, Mireille Bossy, Cristiano Ricci +1
The aim of this paper is to introduce several new particle representations for \textit{ergodic} McKean-Vlasov SDEs. We construct new algorithms by leveraging recent progress in wea…
Weak quantitative propagation of chaos via differential calculus on the space of measures
Jean-François Chassagneux, Lukasz Szpruch, Alvin Tse
Consider the metric space of square integrable laws on with the topology induced by the 2-Wasserstein distance . Let $Φ: \ma…
Iterative Particle Approximation for McKean-Vlasov SDEs with application to Multilevel Monte Carlo estimation
Lukasz Szpruch, Shuren Tan, Alvin Tse
The mean field limits of systems of interacting diffusions (also called stochastic interacting particle systems (SIPS)) have been intensively studied since McKean \cite{mckean1966c…