Séminaire Multilevel Monte Carlo for McKean-Vlasov SDEs Cet événement est passé. 10 mars @ 14 H 00 min - 17 H 00 min 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. site de l’IdR FiME : http://www.fime-lab.org Ajout/retrait de la liste de diffusion : mail à damien.fessler@dauphine.fr Organisateur Chaire Finance et Développement Durable & de l’Initiative de Recherche Finance des Marchés d’Energies Lieu Institut Henri Poincaré 11 rue Pierre et Marie Curie, Paris, 75005 France