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math.PR2018
Simulation of McKean Vlasov SDEs with super linear growth
G. dos Reis, S. Engelhardt, G. Smith
We present two fully probabilistic Euler schemes, one explicit and one implicit, for the simulation of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) with drifts of supe…
math.PR2018
Importance sampling for McKean-Vlasov SDEs
Goncalo dos Reis, Greig Smith, Peter Tankov
This paper deals with the Monte-Carlo methods for evaluating expectations of functionals of solutions to McKean-Vlasov Stochastic Differential Equations (MV-SDE) with drifts of sup…