Multilevel and Multi-index Monte Carlo methods for the McKean–Vlasov equation
暂无分享,去创建一个
[1] Dirk Nuyens,et al. A Multi-Index Quasi-Monte Carlo Algorithm for Lognormal Diffusion Problems , 2016, SIAM J. Sci. Comput..
[2] Pierre Del Moral,et al. On the Stability and the Uniform Propagation of Chaos of a Class of Extended Ensemble Kalman-Bucy Filters , 2016, SIAM J. Control. Optim..
[3] L. Ricketson. A multilevel Monte Carlo method for a class of McKean-Vlasov processes , 2015, 1508.02299.
[4] Radek Erban,et al. A Cucker-Smale Model with Noise and Delay , 2015, SIAM J. Appl. Math..
[5] Vassili N. Kolokoltsov,et al. On mean field games with common noise and McKean-Vlasov SPDEs , 2015, Stochastic Analysis and Applications.
[6] Sten Rüdiger,et al. Particle-Based Multiscale Modeling of Calcium Puff Dynamics , 2015, Multiscale Model. Simul..
[7] R. Erban,et al. Particle-based multiscale modeling of intracellular calcium dynamics , 2015 .
[8] Fabio Nobile,et al. Multi-index Monte Carlo: when sparsity meets sampling , 2014, Numerische Mathematik.
[9] Fabio Nobile,et al. Optimization of mesh hierarchies in multilevel Monte Carlo samplers , 2014, Stochastics and Partial Differential Equations Analysis and Computations.
[10] R. Tempone,et al. A continuation multilevel Monte Carlo algorithm , 2014, BIT Numerical Mathematics.
[11] Bruce I. Cohen,et al. Multilevel Monte Carlo simulation of Coulomb collisions , 2013, J. Comput. Phys..
[12] C. Reisinger,et al. Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives , 2012, 1211.0707.
[13] Abdul Lateef,et al. Pedestrian Flow in the Mean Field Limit , 2012 .
[14] M. Giles,et al. Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation , 2012, 1202.6283.
[15] R. Erban,et al. From individual to collective behaviour of coupled velocity jump processes: a locust example , 2011, 1104.2584.
[16] Michael B. Giles,et al. Multilevel Monte Carlo Path Simulation , 2008, Oper. Res..
[17] R. Spigler,et al. The Kuramoto model: A simple paradigm for synchronization phenomena , 2005 .
[18] Stefan Heinrich,et al. Multilevel Monte Carlo Methods , 2001, LSSC.
[19] D. Talay,et al. Convergence Rate for the Approximation of the Limit Law of Weakly Interacting Particles 2: Application to the Burgers Equation , 1996 .
[20] Helbing,et al. Social force model for pedestrian dynamics. , 1995, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics.
[21] P. Kloeden,et al. Numerical Solution of Stochastic Differential Equations , 1992 .
[22] Leslie Greengard,et al. A fast algorithm for particle simulations , 1987 .
[23] Ole Tange,et al. GNU Parallel: The Command-Line Power Tool , 2011, login Usenix Mag..
[24] K. A. Cliffe,et al. Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients , 2011, Comput. Vis. Sci..
[25] M. Giles. Improved Multilevel Monte Carlo Convergence using the Milstein Scheme , 2008 .
[26] Mireille Bossy,et al. A stochastic particle method for the McKean-Vlasov and the Burgers equation , 1997, Math. Comput..
[27] A. Sznitman. Topics in propagation of chaos , 1991 .
[28] École d'été de probabilités de Saint-Flour,et al. Ecole d'été de probabilités de Saint-Flour XIX, 1989 , 1991 .
[29] J. Gärtner. On the McKean‐Vlasov Limit for Interacting Diffusions , 1988 .
[30] J. CARRIERt,et al. A FAST ADAPTIVE MULTIPOLE ALGORITHM FOR PARTICLE SIMULATIONS * , 2022 .