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math.PR2021
Weak convergence analysis in the particle limit of the McKean--Vlasov equations using stochastic flows of particle systems
Abdul-Lateef Haji-Ali, Håkon Hoel, Raúl Tempone
We present a proof showing that the weak error of a system of interacting stochastic particles approximating the solution of the McKean-Vlasov equation is .…
math.PR2018★ 10 cited
Central limit theorems for multilevel Monte Carlo methods
Håkon Hoel, Sebastian Krumscheid
In this work, we show that uniform integrability is not a necessary condition for central limit theorems (CLT) to hold for normalized multilevel Monte Carlo (MLMC) estimators and w…