Professor MIKHAIL TRETYAKOV's Outputs (2)

Well-posedness and approximation of reflected McKean-Vlasov SDEs with applications (2025)
Journal Article
Hinds, P. D., Sharma, A., & Tretyakov, M. V. (in press). Well-posedness and approximation of reflected McKean-Vlasov SDEs with applications. Mathematical Models and Methods in Applied Sciences,

In this paper, we establish well-posedness of reflected McKean-Vlasov SDEs and their particle approximations in smooth non-convex domains. We prove convergence of the interacting particle system to the corresponding mean-field limit with the optimal... Read More about Well-posedness and approximation of reflected McKean-Vlasov SDEs with applications.

Sampling from mixture distributions based on regime-switching diffusions (2025)
Journal Article
Tretyakov, M. V. (in press). Sampling from mixture distributions based on regime-switching diffusions. SIAM Journal on Scientific Computing,

It is proposed to use stochastic differential equations with state-dependent switching 4 rates (SDEwS) for sampling from finite mixture distributions. An Euler scheme with constant time 5 step for SDEwS is considered. It is shown that the scheme conv... Read More about Sampling from mixture distributions based on regime-switching diffusions.