Geodesic
New particle representations for ergodic McKean-Vlasov SDEs
Houssam AlRachid1 ; Mireille Bossy1 ; Cristiano Ricci2 ; Lukasz Szpruch3, 4
1 IDP Laboratory, Orleans University, Orleans, France
2 University of Florence, Italy
3 School of Mathematics, University of Edinburgh – Maxwell Institute for Mathematical Sciences, Edinburgh
4 The Alan Turing Institute, London
ESAIM. Proceedings, Tome 65 (2019), pp. 68-83 Cet article a éte moissonné depuis la source EDP Sciences

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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.
DOI : 10.1051/proc/201965068

Houssam AlRachid 1 ; Mireille Bossy 1 ; Cristiano Ricci 2 ; Lukasz Szpruch 3, 4

1 IDP Laboratory, Orleans University, Orleans, France
2 University of Florence, Italy
3 School of Mathematics, University of Edinburgh – Maxwell Institute for Mathematical Sciences, Edinburgh
4 The Alan Turing Institute, London 
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     author = {Houssam AlRachid and Mireille Bossy and Cristiano Ricci and Lukasz Szpruch},
     title = {New particle representations for ergodic {McKean-Vlasov} {SDEs}},
     journal = {ESAIM. Proceedings},
     pages = {68--83},
     year = {2019},
     volume = {65},
     doi = {10.1051/proc/201965068},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/proc/201965068/}
}
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Houssam AlRachid; Mireille Bossy; Cristiano Ricci; Lukasz Szpruch. New particle representations for ergodic McKean-Vlasov SDEs. ESAIM. Proceedings, Tome 65 (2019), pp. 68-83. doi: 10.1051/proc/201965068

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