1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.PR2017
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…
math.PR2017★ 1 cited
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…