26 citations · 28 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.PR2017★ 26 cited
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…