Organisation : Delphine Lautier, Emmanuel Gobet, Clémence Alasseur

Lieu : Salle 01 – Institut Henri Poincaré, 11 rue Pierre et Marie Curie – Paris 5eme
Date : Vendredi 10 mars 2017

Heure : 14h00

Intervenants:  Lukasz Szpruch (School of Mathematics, University of Edinburgh)

Sujet: Multilevel Monte Carlo for McKean-Vlasov SDEs

Abstract: Stochastic Interacting Particle System (SIPS) and they limiting stochastic McKean-Vlasov equations offer a very rich and versatile modelling framework. On one hand interactions allow us to capture complex dependent structure, on the other provide a great challenge for Monte Carlo simulations. The non-linear dependence of the approximation bias on the statistical error makes classical variance reduction techniques fail in this setting. In this talk, we will devise a iterative MLMC that will allow to overcome this difficulty. Obtained method allow to reduce computational cost  of simulating SIPS by the the order of magnitude. 

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