3 citations · 6 across the 2 of their papers we have counts for
2 papers
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.NA2022★ 3 cited
Neural variance reduction for stochastic differential equations
P. D. Hinds, M. V. Tretyakov
Variance reduction techniques are of crucial importance for the efficiency of Monte Carlo simulations in finance applications. We propose the use of neural SDEs, with control varia…