A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations

We propose a new algorithm to approximate weakly the solution of a McKean–Vlasov SDE. Based on the cubature method of Lyons and Victoir (2004), the algorithm is deterministic differing from the usual methods based on interacting particles. It can be parametrized in order to obtain a given order of convergence.

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Year of publication:	2015
Authors:	Chaudru de Raynal, P.E. ; Garcia Trillos, C.A.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 125.2015, 6, p. 2206-2255
Publisher:	Elsevier
Subject:	Cubature \| McKean–Vlasov processes \| BSDE \| Mean field games \| Non-local PDE

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011209780