{"title":"遍历McKean-Vlasov SDEs的新粒子表示","authors":"Houssam Alrachid, M. Bossy, C. Ricci, L. Szpruch","doi":"10.1051/PROC/201965068","DOIUrl":null,"url":null,"abstract":"The aim of this paper is to introduce several new particle representations for 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.","PeriodicalId":53260,"journal":{"name":"ESAIM Proceedings and Surveys","volume":"38 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2019-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"10","resultStr":"{\"title\":\"New particle representations for ergodic McKean-Vlasov SDEs\",\"authors\":\"Houssam Alrachid, M. Bossy, C. Ricci, L. Szpruch\",\"doi\":\"10.1051/PROC/201965068\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The aim of this paper is to introduce several new particle representations for 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.\",\"PeriodicalId\":53260,\"journal\":{\"name\":\"ESAIM Proceedings and Surveys\",\"volume\":\"38 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-01-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"10\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ESAIM Proceedings and Surveys\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1051/PROC/201965068\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ESAIM Proceedings and Surveys","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1051/PROC/201965068","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
New particle representations for ergodic McKean-Vlasov SDEs
The aim of this paper is to introduce several new particle representations for 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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