Lukasz Szpruch (U. of Edinburgh) – Multilevel Monte Carlo for McKean-Vlasov SDEs

Chargement Évènements

« All Évènements

  • Cet événement est passé

Lukasz Szpruch (U. of Edinburgh) – Multilevel Monte Carlo for McKean-Vlasov SDEs

10 mars

icon-pdf_on

Stochastic Interacting Particle System (SIPS) and they limiting stochastic McKean-Vlasov equations offer a very rich and versatile modelling framework. On one hand interactions allow us to capture complex dependent structure, on the other provide a great challenge for Monte Carlo simulations. The non-linear dependence of the approximation bias on the statistical error makes classical variance reduction techniques fail in this setting. In this talk, we will devise a iterative MLMC that will allow to overcome this difficulty. Obtained method allow to reduce computational cost  of simulating SIPS by the the order of magnitude.

Détails

Date :
10 mars