Projected particle methods for solving McKean-Vlasov equations
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 2341 | |
dc.contributor.author | Belomestny, Denis | |
dc.contributor.author | Schoenmakers, John G.M. | |
dc.date.accessioned | 2017-03-29T23:50:35Z | |
dc.date.available | 2019-06-28T08:05:45Z | |
dc.date.issued | 2016 | |
dc.description.abstract | We study a novel projection-based particle method to the solution of the corresponding McKean-Vlasov equation. Our approach is based on the projection-type estimation of the marginal density of the solution in each time step. The projection-based particle method can profit from additional smoothness of the underlying density and leads in many situation to a signficant reduction of numerical complexity compared to kernel density estimation algorithms. We derive strong convergence rates and rates of density estimation. The case of linearly growing coefficients of the McKean-Vlasov equation turns out to be rather challenging and requires some new type of averaging technique. This case is exemplified by explicit solutions to a class of McKean-Vlasov equations with affine drift. | |
dc.description.version | publishedVersion | eng |
dc.format | application/pdf | |
dc.identifier.issn | 2198-5855 | |
dc.identifier.uri | https://doi.org/10.34657/3031 | |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/2340 | |
dc.language.iso | eng | eng |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | |
dc.relation.issn | 0946-8633 | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.subject.ddc | 510 | |
dc.subject.other | Mckean-Vlasov equations | eng |
dc.subject.other | particle systems | eng |
dc.subject.other | projection estimators | eng |
dc.subject.other | explicit solutions | eng |
dc.title | Projected particle methods for solving McKean-Vlasov equations | |
dc.type | Report | eng |
dc.type | Text | eng |
tib.accessRights | openAccess | eng |
wgl.contributor | WIAS | eng |
wgl.subject | Mathematik | eng |
wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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