most citedDouble-Loop Importance Sampling for McKean--Vlasov Stochastic Differential Equation

8 citations · 9 across the 2 of their papers we have counts for

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2 papers

math.NA2022★ 1 cited

Multilevel Importance Sampling for Rare Events Associated With the McKean--Vlasov Equation

Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Shyam Mohan Subbiah Pillai +1

This work combines multilevel Monte Carlo (MLMC) with importance sampling to estimate rare-event quantities that can be expressed as the expectation of a Lipschitz observable of th…

math.NA2022★ 8 cited

Double-Loop Importance Sampling for McKean--Vlasov Stochastic Differential Equation

Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Shyam Mohan Subbiah Pillai +1

This paper investigates Monte Carlo (MC) methods to estimate probabilities of rare events associated with solutions to the -dimensional McKean-Vlasov stochastic differential equ…