An MLP algorithm that stores entire solution paths approximates distribution-dependent SDEs with nonconstant diffusion in L2 with cost polynomial in dimension and inverse tolerance.
Mathematics and Financial Economics 12(2018), 335–363
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Multilevel Picard approximations for McKean-Vlasov stochastic differential equations with nonconstant diffusion
An MLP algorithm that stores entire solution paths approximates distribution-dependent SDEs with nonconstant diffusion in L2 with cost polynomial in dimension and inverse tolerance.