Importance sampling for McKean-Vlasov SDEs

Gonçalo dos Reis, Greig Smith and Peter Tankov

Applied Mathematics and Computation, 2023, vol. 453, issue C

Abstract: This paper deals with Monte-Carlo (MC) methods for evaluating expectations of functionals of solutions to McKean-Vlasov Stochastic Differential Equations (MV-SDE) including those with super-linearly growing drifts. Underpinned by an interacting particle system approximation, we propose two importance sampling (IS) algorithms to reduce the variance of an associated MC estimator.

Keywords: McKean-Vlasov Stochastic Differential Equation; Interacting particle systems; Monte Carlo simulation; Importance sampling; Large deviations (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:453:y:2023:i:c:s0096300323002473

DOI: 10.1016/j.amc.2023.128078

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