Projected particle methods for solving McKean-Vlasov stochastic differential equations. Belomestny, D. & Schoenmakers, J. SIAM J. Numer. Anal., 56(6):3169–3195, 2018.
Paper doi bibtex 1 download @article {MR3871063,
AUTHOR = {Belomestny, Denis and Schoenmakers, John},
TITLE = {Projected particle methods for solving {M}c{K}ean-{V}lasov
stochastic differential equations},
JOURNAL = {SIAM J. Numer. Anal.},
FJOURNAL = {SIAM Journal on Numerical Analysis},
VOLUME = {56},
YEAR = {2018},
NUMBER = {6},
PAGES = {3169--3195},
ISSN = {0036-1429},
MRCLASS = {65C30 (60H10 60K35 65C35)},
MRNUMBER = {3871063},
DOI = {10.1137/17M1111024},
URL = {https://doi.org/10.1137/17M1111024},
}
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