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New particle representations for ergodic McKean-Vlasov SDEs

Abstract : The aim of this paper is to introduce several new particle representations for \textit{ergodic} McKean-Vlasov SDEs. We construct new algorithms by leveraging recent progress in weak convergence analysis of interacting particle system. We present detailed analysis of errors and associated costs of various estimators, highlighting key differences between long-time simulations of linear (classical SDEs) versus non-linear (Mckean-Vlasov SDEs) process.
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Contributor : Mireille Bossy Connect in order to contact the contributor
Submitted on : Wednesday, March 6, 2019 - 8:07:32 PM
Last modification on : Friday, January 21, 2022 - 3:20:58 AM

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Houssam Alrachid, Mireille Bossy, Cristiano Ricci, Lukasz Szpruch. New particle representations for ergodic McKean-Vlasov SDEs. ESAIM: Proceedings and Surveys, EDP Sciences, 2019, CEMRACS 2017 - Numerical methods for stochastic models: control, uncertainty quantification, mean-field, 65, pp.68-83. ⟨10.1051/proc/201965068⟩. ⟨hal-02059785⟩



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