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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https://hal.inria.fr/hal-02059785
Contributor : Mireille Bossy <>
Submitted on : Wednesday, March 6, 2019 - 8:07:32 PM
Last modification on : Wednesday, September 11, 2019 - 11:12:08 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, SMAI 2019, 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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