Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean
In: ISSN: 2267-3059, 2019
academicJournal
Zugriff:
14 pages ; International audience ; In this paper, we prove that the weak error between a stochastic differential equation with nonlinearity in the sense of McKean given by moments and its approximation by the Euler discretization with time-step h of a system of N interacting particles is O(1/N + h). We provide numerical experiments confirming this behaviour and showing that it extends to more general mean-field interaction and study the efficiency of the antithetic sampling technique on the same examples.
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Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean
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| Autor/in / Beteiligte Person: | Bencheikh, Oumaima ; Jourdain, Benjamin ; École des Ponts ParisTech (ENPC) ; Mathematical Risk Handling (MATHRISK) ; Université Paris-Est Marne-la-Vallée (UPEM)-École des Ponts ParisTech (ENPC)-Inria de Paris ; Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria) |
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| Zeitschrift: | ISSN: 2267-3059, 2019 |
| Veröffentlichung: | HAL CCSD ; EDP Sciences, 2019 |
| Medientyp: | academicJournal |
| DOI: | 10.1051/proc/201965219 |
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