First order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems
Bao, J
Reisinger, C
Ren, P
Stockinger, W
(07 Apr 2020)
Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems
Bao, J
Reisinger, C
Ren, P
Stockinger, W
(03 May 2020)
An adaptive Euler-Maruyama scheme for McKean-Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model
Reisinger, C
Stockinger, W
(12 May 2020)
Well-posedness and tamed schemes for McKean-Vlasov Equations with Common Noise
Kumar, C
Neelima
Reisinger, C
Stockinger, W
(31 May 2020)
Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
Leobacher, G
Reisinger, C
Stockinger, W
(26 Jun 2020)
A posteriori error estimates for fully coupled McKean-Vlasov forward-backward SDEs
Reisinger, C
Stockinger, W
Zhang, Y
(15 Jul 2020)
Detecting and repairing arbitrage in traded option prices
Cohen, S
Reisinger, C
Wang, S
(21 Aug 2020)
Optimal regularity of extended mean field controls and their piecewise constant approximation
Reisinger, C
Stockinger, W
Zhang, Y
(17 Sep 2020)
Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem
Kaushansky, V
Reisinger, C
Shkolnikov, M
Song, Z
(11 Oct 2020)
Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise
Neelima
Biswas, S
Kumar, C
Reis, G
Reisinger, C
(16 Oct 2020)