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Journal Articles ESAIM: Proceedings and Surveys Year : 2019

New particle representations for ergodic McKean-Vlasov SDEs

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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.

Dates and versions

hal-02059785 , version 1 (06-03-2019)

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Cite

Houssam Alrachid, Mireille Bossy, Cristiano Ricci, Lukasz Szpruch. New particle representations for ergodic McKean-Vlasov SDEs. ESAIM: Proceedings and Surveys, 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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