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   Articles with "mckean vlasov" as a keyword



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Multilevel and Multi-index Monte Carlo methods for the McKean–Vlasov equation

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recommendations! 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
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Strong convergence rates in averaging principle for slow-fast McKean-Vlasov SPDEs

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recommendations! Published in 2022 at "Journal of Differential Equations"

DOI: 10.1016/j.jde.2022.01.039

Abstract: In this paper, we aim to study the asymptotic behaviour for a class of McKean-Vlasov stochastic partial differential equations with slow and fast time-scales. Using the variational approach and classical Khasminskii time discretization, we show… read more here.

Keywords: vlasov; slow fast; mckean vlasov; convergence rates ... See more keywords
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Large Deviations and Exit-times for reflected McKean-Vlasov equations with self-stabilizing terms and superlinear drifts

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recommendations! Published in 2022 at "Stochastic Processes and their Applications"

DOI: 10.1016/j.spa.2021.12.017

Abstract: We study a class of reflected McKean-Vlasov diffusions over a convex domain with self-stabilizing coefficients. This includes coefficients that do not satisfy the classical Wasserstein Lipschitz condition. Further, the process is constrained to a (not… read more here.

Keywords: self stabilizing; reflected mckean; mckean vlasov; large deviations ... See more keywords
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On the convergence of carathéodory numerical scheme for Mckean-Vlasov equations

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recommendations! Published in 2020 at "Stochastic Analysis and Applications"

DOI: 10.1080/07362994.2020.1845206

Abstract: Abstract We study the strong convergence of the Carathéodory numerical scheme for a class of nonlinear McKean-Vlasov stochastic differential equations (MVSDE). We prove, under Lipschitz assumptions, the convergence of the approximate solutions to the unique… read more here.

Keywords: carath odory; numerical scheme; odory numerical; mckean vlasov ... See more keywords
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Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps

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recommendations! Published in 2019 at "Infinite Dimensional Analysis, Quantum Probability and Related Topics"

DOI: 10.1142/s0219025721500065

Abstract: In this paper, the path independent property of additive functionals of McKean–Vlasov stochastic differential equations with jumps is characterized by nonlinear partial integro-differential equations involving [Formula: see text]-derivatives with respect to probability measures introduced by… read more here.

Keywords: stochastic differential; additive functionals; mckean vlasov; vlasov stochastic ... See more keywords