Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean–Vlasov equations and interacting particle systems

McKean–Vlasov SDEs under measure dependent Lyapunov conditions

(2021) William R. P. Hammersley et al.   ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES

Antithetic multilevel sampling method for nonlinear functionals of measure

(2021) Łukasz Szpruch et al.   ANNALS OF APPLIED PROBABILITY

Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations

(2021) Yuliya Mishura et al.   Theory of Probability and Mathematical Statistics

Simulation of McKean–Vlasov SDEs with super-linear growth

(2020) Gonçalo dos Reis et al.   IMA JOURNAL OF NUMERICAL ANALYSIS

On a strong form of propagation of chaos for McKean-Vlasov equations

(2018) Daniel Lacker   ELECTRONIC COMMUNICATIONS IN PROBABILITY

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

(2017) Abdul-Lateef Haji-Ali et al.   STATISTICS AND COMPUTING

On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations

(2016) Konstantinos Dareiotis et al.   SIAM JOURNAL ON NUMERICAL ANALYSIS

Multilevel Monte Carlo methods

(2015) Michael B. Giles   ACTA NUMERICA

Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation

(2014) Michael B. Giles et al.   ANNALS OF APPLIED PROBABILITY

Efficient almost-exact Lévy area sampling

(2014) Simon J.A. Malham et al.   STATISTICS & PROBABILITY LETTERS

Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives

(2013) K. Bujok et al.   METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY

Limits and Dynamics of Stochastic Neuronal Networks with Random Heterogeneous Delays

(2012) Jonathan Touboul   JOURNAL OF STATISTICAL PHYSICS

The Milstein Scheme for Stochastic Delay Differential Equations Without Using Anticipative Calculus

(2012) P. E. Kloeden et al.   STOCHASTIC ANALYSIS AND APPLICATIONS

Multilevel Monte Carlo Path Simulation

(2008) Michael B. Giles   OPERATIONS RESEARCH