19 citations · 22 across the 12 of their papers we have counts for
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math.PR2021★ 1 cited
Empirical approximation to invariant measures for McKean--Vlasov processes: mean-field interaction vs self-interaction
Kai Du, Yifan Jiang, Jinfeng Li
This paper proves that, under a monotonicity condition, the invariant probability measure of a McKean--Vlasov process can be approximated by weighted empirical measures of some pro…
math.PR2021★ 19 cited
Convergence of the Deep BSDE method for FBSDEs with non-Lipschitz coefficients
Yifan Jiang, Jinfeng Li
This paper is dedicated to solving high-dimensional coupled FBSDEs with non-Lipschitz diffusion coefficients numerically. Under mild conditions, we provided a posterior estimate of…