133 citations · 631 across the 63 of their papers we have counts for
4 papers · 2 filters
A high order time discretization of the solution of the non-linear filtering problem
Dan Crisan, Salvador Ortiz-Latorre
The solution of the continuous time filtering problem can be represented as a ratio of two expectations of certain functionals of the signal process that are parametrized by the ob…
Smoothing properties of McKean-Vlasov SDEs
Dan Crisan, Eamon McMurray
In this article, we develop integration by parts formulae on Wiener space for solutions of SDEs with general McKean-Vlasov interaction and uniformly elliptic coefficients. These in…
Cubature on Wiener Space for McKean-Vlasov SDEs with Smooth Scalar Interaction
Dan Crisan, Eamon McMurray
We present two cubature on Wiener space algorithms for the numerical solution of McKean-Vlasov SDEs with smooth scalar interaction. The analysis hinges on sharp gradient to time-in…
Numerical Method for FBSDEs of McKean-Vlasov Type
Jean-François Chassagneux, Dan Crisan, François Delarue
This paper is dedicated to the presentation and the analysis of a numerical scheme for forward-backward SDEs of the McKean-Vlasov type, or equivalently for solutions to PDEs on the…