Multilevel and Multi-index Monte Carlo methods for the McKean–Vlasov equation
Sign Up to like & getrecommendations! Published in 2018 at "Statistics and Computing"
DOI: 10.1007/s11222-017-9771-5
Abstract: We address the approximation of functionals depending on a system of particles, described by stochastic differential equations (SDEs), in the mean-field limit when the number of particles approaches infinity. This problem is equivalent to estimating… read more here.
Keywords: multi index; index monte; multilevel multi; monte carlo ... See more keywords