most citedWell-posedness and approximation of reflected McKean-Vlasov SDEs with applications

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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…