McKean-Vlasov SDEs

Numerical approximation of McKean-Vlasov SDEs via Stochastic Gradient Descent

Prof. Gonçalo dos Reis, School of Mathematics, University of Edinburgh

Nov 1, 15:30 - 17:00

B1 L3 R3119

stochastic gradient descent McKean-Vlasov SDEs

We propose a novel approach of numerically approximate McKean-Vlasov SDEs that avoids the usual interacting particle approximation and Propagation of Chaos results altogether.