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20232025
most citedMultilevel Picard approximations overcome the curse of dimensionality in the numerical approximation of general semilinear PDEs with gradient-dependent nonlinearities

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math.NA2025

Multilevel Picard approximations for McKean-Vlasov stochastic differential equations with nonconstant diffusion

Ariel Neufeld, Tuan Anh Nguyen, Philipp Schmocker

We introduce multilevel Picard (MLP) approximations for McKean--Vlasov stochastic differential equations (SDEs) with nonconstant diffusion coefficient. Under standard Lipschitz ass…