2 papers
math.PR2025
Malliavin differentiability of McKean-Vlasov SDEs with common noise
Jianhai Bao, Goncalo dos Reis, Zac Wilde
We establish the Malliavin differentiability of McKean-Vlasov stochastic differential equations (MV-SDEs) with common noise under the global Lipschitz assumption in the space varia…
math.NA2024
Improved weak convergence for the long time simulation of Mean-field Langevin equations
Xingyuan Chen, Goncalo dos Reis, Wolfgang Stockinger +1
We study the weak convergence behaviour of the Leimkuhler--Matthews method, a non-Markovian Euler-type scheme with the same computational cost as the Euler scheme, for the approxim…