5 papers
Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent
Ankush Agarwal, Andrea Amato, Goncalo dos Reis +1
We propose a novel approach to numerically approximate McKean-Vlasov stochastic differential equations (MV-SDE) using stochastic gradient descent (SGD) while avoiding the use of in…
Tamed Euler approximation for fully superlinear growth McKean-Vlasov SDE and their particle systems: sharp rates for strong propagation of chaos, convergence and ergodicity
Simran Soni, Neelima, Chaman Kumar +1
We study McKean--Vlasov Stochastic Differential Equations (MV-SDEs) whose drift and diffusion coefficients are of superlinear growth in \textit{all} their variables thus also super…
Malliavin differentiability of McKean-Vlasov SDEs with common noise
Jianhai Bao, Goncalo dos Reis, Zac Wilde
We establish the Malliavin differentiability of McKean-Vlasov stochastic differential equations (MV-SDEs) with common noise under the global Lipschitz assumption in the space varia…
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-…
The random periodic solutions for McKean-Vlasov stochastic differential equations
Jianhai Bao, Goncalo Dos Reis, Yue Wu
In this paper, we study well-posedness of random periodic solutions of stochastic differential equations (SDEs) of McKean-Vlasov type driven by a two-sided Brownian motion, where t…