4 citations · 6 across the 2 of their papers we have counts for
2 papers
math.NA2019★ 2 cited
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…
math.PR2019★ 4 cited
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…