A Monte-Carlo/Moments Micro-Macro Parareal Method for Simulating Unimodal and Bimodal Scalar McKean-Vlasov Stochastic Differential Equations

This paper introduces a novel parallel-in-time algorithm called MC-moments Parareal, designed to accelerate the simulation of McKean-Vlasov stochastic differential equations (SDEs) by combining a cheap moment-based ODE approximation with accurate but expensive Monte Carlo simulations in a parallel framework.