Multi-index importance sampling for McKean–Vlasov stochastic differential equations

Rached, N.B., Haji-Ali, A.-L., Pillai, S.M.S. et al. (1 more author) (2027) Multi-index importance sampling for McKean–Vlasov stochastic differential equations. Journal of Computational and Applied Mathematics, 490. 117988. ISSN: 0377-0427

Metadata

Item Type: Article
Authors/Creators:
  • Rached, N.B.
  • Haji-Ali, A.-L.
  • Pillai, S.M.S.
  • Tempone, R.
Copyright, Publisher and Additional Information:

This is an author produced version of an article published in the Journal of Computational and Applied Mathematics, made available via the University of Leeds Research Outputs Policy under the terms of the Creative Commons Attribution License (CC-BY), which permits unrestricted use, distribution and reproduction in any medium, provided the original work is properly cited.
Keywords: McKean–Vlasov stochastic differential equation, Importance sampling, Multi-index Monte Carlo, Decoupling approach, Double loop Monte Carlo
Dates:
  • Published (online): 21 July 2026
  • Published: 15 January 2027
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds)
Date Deposited: 08 Sep 2026 13:41
Last Modified: 08 Sep 2026 14:49
Published Version: https://www.sciencedirect.com/science/article/pii/...
Status: Published
Publisher: Elsevier
Identification Number: 10.1016/j.cam.2026.117988
Open Archives Initiative ID (OAI ID):

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