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2017

Numerical Method for FBSDEs of McKean-Vlasov Type

Chassagneux, Jean-François, Crisan, Dan, Delarue, François

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This paper is dedicated to the presentation and the analysis of a numerical scheme for forward-backward SDEs of the McKean-Vlasov type, or equivalently for solutions to PDEs on the Wasserstein space.

Because of the mean field structure of the equation, earlier methods for classical forward-backward systems fail.
The scheme is based on a variation of the method of continuation.
The principle is to implement recursively local Picard iterations on small time intervals.

Numerical Method for FBSDEs of McKean-Vlasov Type · Around

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J. Ma, P. Protter and J. Yong
1994
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F. Delarue and S. Menozzi
2006
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J.M. Lasry and P.L. Lions
2006
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J.M. Lasry and P.L. Lions
2006
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J.M. Lasry and P.L. Lions
2007
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C. Bender and J. Zhang
2008
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F. Delarue and S. Menozzi
2008
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Y. Achdou and I. Capuzzo-Dolcetta
2010
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A. Lachapelle, J. Salomon and G. Turinici
2010
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P. Cardaliaguet
2012
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O. Guéant
2012
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