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

P.E. Chaudru de Raynal and C.A. Garcia Trillos

Stochastic Processes and their Applications, 2015, vol. 125, issue 6, 2206-2255

Abstract: 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.

Keywords: Cubature; McKean–Vlasov processes; BSDE; Mean field games; Non-local PDE (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spa.2014.11.018

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