3 papers
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…
math.PR2023
Malliavin differentiability of McKean-Vlasov SDEs with locally Lipschitz coefficients
Goncalo dos Reis, Zac Wilde
In this short note, we establish Malliavin differentiability of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) with drifts satisfying both a locally Lipschitz and a one-…
math.NA2023
An iterative method for Helmholtz boundary value problems arising in wave propagation
Francisco Bernal, Xingyuan Chen, Goncalo dos Reis
The complex Helmholtz equation (where ) is a mainstay of computational wave simulation. Despite its apparent simplici…