Multilevel Picard

Multilevel Picard approximations for McKean-Vlasov stochastic differential equations with nonconstant diffusion

arXiv:2502.03205v3 Announce Type: replace Abstract: We introduce multilevel Picard (MLP) approximations for McKean--Vlasov stochastic differential equations (SDEs) with nonconstant diffusion coefficient. Under standard Lipschitz assumptions on the coefficients, we show that the MLP algorithm approximates the solution of the SDE in the $L^2$-sense without the curse of dimensionality. The latter means that its computational cost grows at most polynomially in both the dimension and the...