Cover Image

Monte-Carlo/Moments micro-macro Parareal method for unimodal and bimodal scalar McKean-Vlasov SDEs

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Bossuyt, Ignace, Vandewalle, Stefan, Samaey, Giovanni
Format:	Preprint
Published:	2023
Subjects:	Numerical Analysis Computational Physics Computation 65C30, 68Q10, 65C35, 60H35
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Micro-macro Parareal, from ODEs to SDEs and back again
by: Bossuyt, Ignace, et al.
Published: (2024)

Convergence of the micro-macro Parareal Method for a Linear Scale-Separated Ornstein-Uhlenbeck SDE: extended version
by: Bossuyt, Ignace, et al.
Published: (2025)

Multi-index importance sampling for McKean--Vlasov stochastic differential equations
by: Rached, Nadhir Ben, et al.
Published: (2023)

Multilevel Importance Sampling for Rare Events Associated With the McKean--Vlasov Equation
by: Rached, Nadhir Ben, et al.
Published: (2022)

Milstein-type schemes for McKean-Vlasov SDEs driven by Brownian motion and Poisson random measure (with super-linear coefficients)
by: Biswas, Sani, et al.
Published: (2024)

Double-Loop Importance Sampling for McKean--Vlasov Stochastic Differential Equation
by: Rached, Nadhir Ben, et al.
Published: (2022)

A statistical approach for simulating the density solution of a McKean-Vlasov equation
by: Hoffmann, Marc, et al.
Published: (2023)

Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
by: Leobacher, Gunther, et al.
Published: (2020)

Strong error analysis and first-order convergence of Milstein-type schemes for McKean-Vlasov SDEs with superlinear coefficients
by: Zhu, Jingtao, et al.
Published: (2025)

Conditional McKean-Vlasov Differential Equations with Common Poissonian Noise: Propagation of Chaos
by: Hernández-Hernández, Daniel, et al.
Published: (2023)

An Euler scheme for McKean SDEs with Besov drift: convergence rate and implementation
by: Jaquez, Luis Mario Chaparro, et al.
Published: (2026)

Gradient-based Monte Carlo methods for relaxation approximations of hyperbolic conservation laws
by: Bertaglia, Giulia, et al.
Published: (2023)

A weighted multilevel Monte Carlo method
by: Li, Yu, et al.
Published: (2024)

A Lyapunov-tamed Euler method for singular SDEs
by: Johnston, Tim, et al.
Published: (2026)

Convergence and stability of a micro-macro acceleration method:linear slow-fast stochastic differential equations with additive noise
by: Zieliński, Przemysław, et al.
Published: (2019)

Markov chain Monte Carlo for Bayesian inference of the non-conducting region in intra-atrial reentrant tachycardia
by: Volkaerts, Maarten, et al.
Published: (2026)

A Randomized Milstein Scheme for SDEs with Superlinear Drift Coefficient
by: Biswas, Sani
Published: (2026)

Multilevel Markov Chain Monte Carlo with likelihood scaling for Bayesian inversion with high-resolution observations
by: Vanmechelen, Pieter, et al.
Published: (2024)

Monte Carlo sampling with integrator snippets
by: Andrieu, Christophe, et al.
Published: (2024)

Approximation of non-linear SPDEs with additive noise via weighted interacting particles systems: the stochastic McKean-Vlasov equation
by: Angeli, Letizia, et al.
Published: (2024)

An alternative approach to well-posedness of McKean-Vlasov equations arising in Consensus-Based Optimization
by: Baldi, Alessandro
Published: (2025)

Multi-Order Monte Carlo IMEX hierarchies for uncertainty quantification in multiscale hyperbolic systems
by: Bertaglia, Giulia, et al.
Published: (2025)

Surrogate-based multilevel Monte Carlo methods for uncertainty quantification in the Grad-Shafranov free boundary problem
by: Elman, Howard, et al.
Published: (2025)

Robust and conservative dynamical low-rank methods for the Vlasov equation via a novel macro-micro decomposition
by: Coughlin, Jack, et al.
Published: (2023)

Convergence of numerical methods for the Navier-Stokes-Fourier system driven by uncertain initial/boundary data
by: Feireisl, Eduard, et al.
Published: (2024)

A stochastic branching particle method for solving non-conservative reaction-diffusion equations
by: Lyu, Liyao, et al.
Published: (2025)

Projected Langevin Monte Carlo algorithms in non-convex and super-linear setting
by: Pang, Chenxu, et al.
Published: (2023)

Two-Step Diffusion: Fast Sampling and Reliable Prediction for 3D Keller--Segel and KPP Equations in Fluid Flows
by: Shen, Zhenda, et al.
Published: (2026)

A localized consensus-based sampling algorithm
by: Bouillon, Arne, et al.
Published: (2025)

Skew-symmetric schemes for stochastic differential equations with non-Lipschitz drift: an unadjusted Barker algorithm
by: Iguchi, Yuga, et al.
Published: (2024)

Mixture-Weighted Ensemble Kalman Filter with Quasi-Monte Carlo Transport
by: Klebanov, Ilja, et al.
Published: (2026)

Dynamical Low-Rank Approximations for Kalman Filtering
by: Nobile, Fabio, et al.
Published: (2025)

Branching Stein Variational Gradient Descent for sampling multimodal distributions
by: Bañales, Isaías, et al.
Published: (2025)

Strong convergence of a class of adaptive numerical methods for SDEs with jumps
by: Kelly, Cónall, et al.
Published: (2023)

Uncertainty quantification for hyperbolic conservation laws with flux coefficients given by spatiotemporal random fields
by: Barth, Andrea, et al.
Published: (2015)

Particle method for the numerical simulation of the path-dependent McKean-Vlasov equation
by: Bernou, Armand, et al.
Published: (2022)

Higher order numerical methods for SDEs without globally monotone coefficients
by: Dai, Lei, et al.
Published: (2024)

Exponentially accurate spectral Monte Carlo method for linear PDEs and their error estimates
by: Feng, Jiaying, et al.
Published: (2025)

On modified Euler methods for McKean-Vlasov stochastic differential equations with super-linear coefficients
by: Jian, Jiamin, et al.
Published: (2025)

On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
by: Mickel, Annalena, et al.
Published: (2023)