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math.PR2024★ 3 cited
Well-posedness and approximation of reflected McKean-Vlasov SDEs with applications
P. D. Hinds, A. Sharma, M. V. Tretyakov
In this paper, we establish well-posedness of reflected McKean-Vlasov SDEs and their particle approximations in smooth non-convex domains. We prove convergence of the interacting p…
math.NA2024★ 2 cited
Sampling from mixture distributions based on regime-switching diffusions
M. V. Tretyakov
It is proposed to use stochastic differential equations with state-dependent switching rates (SDEwS) for sampling from finite mixture distributions. An Euler scheme with constant t…