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We propose several algorithms to solve McKean-Vlasov Forward Backward Stochastic Differential Equations.
“Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations”
B. Bouchard and N. Touzi · 2004
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“A regression-based Monte Carlo method to solve backward stochastic differential equations”
E. Gobet, J-P. Lemor and X. Warin · 2005
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“Jeux à champ moyen. I – Le cas stationnaire”
J.-M. Lasry and P.-L. Lions · 2006
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“Jeux à champ moyen. II – Horizon fini et contrôle optimal”
J.-M. Lasry and P.-L. Lions · 2006
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“Mean Field Games: Numerical Methods”
Y. Achdou and I. Capuzzo-Dolcetta · 2010
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“Probabilistic Analysis of Mean-Field Games”
R. Carmona and F. Delarue · 2013
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“Adam: A Method for Stochastic Optimization”
D. Kingma and J. Ba · 2014
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“A probabilistic approach to classical solutions of the master equation for large population equilibria”
J.-F. Chassagneux, D. Crisan and F. Delarue · 2015
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“A probabilistic weak formulation of mean field games and applications”
R. Carmona and D. Lacker · 2015
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“TensorFlow: A System for Large-scale Machine Learning”
M. Abadi et al · 2016
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“Solving high-dimensional partial differential equations using deep learning”
J. Han, A. Jentzen and W. E · 2017
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“Probabilistic Theory of Mean Field Games with Applications I-II”
R. Carmona and F. Delarue · 2018
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P. Cardaliaguet and C.-A. Lehalle · 2018
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“Horovod: fast and easy distributed deep learning in TensorFlow”, 2018
A. Sergeev and M. Del · 2018
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“Sorting Out Lipschitz Function Approximation”
C. Anil, J. Lucas and R. Grosse · 2019
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“Cemracs 2017: numerical probabilistic approach to MFG”
A. Angiuli et al · 2019
“Machine Learning for Semi Linear PDEs”
Q. Chan-Wai-Nam, J. Mikael and X. Warin · 2019
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“Mean Field Games of Controls: Finite Difference Approximations”
Y. Achdou and Z. Kobeissi · 2020
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“Deep Learning Methods for Mean Field Control Problems with Delay”
J.-P. Fouque and Z. Zhang · 2020
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“Convergence of the Deep BSDE Method for Coupled FBSDEs”
J. Han and J. Long · 2020
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“Deep backward schemes for high-dimensional nonlinear PDEs”
C. Hur\’e, H. Pham and X. Warin · 2020
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“Three Algorithms for Solving High-Dimensional Fully Coupled FBSDEs Through Deep Learning”
S. Ji, S. Peng, Y. Peng and X. Zhang · 2020
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“Deep splitting method for parabolic PDEs”
C. Beck et al · 2019
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“Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations”
C. Beck, W. E and A. Jentzen · 2019
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“Numerical method for FBSDEs of McKean-Vlasov type”
J.-F. Chassagneux, D. Crisan and F. Delarue · 2019
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R. Carmona and M. Laurière · 2019
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A. Bachouch, C. Hur\’e, H. Pham and N. Langren\’e · 2021
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“Numerical Methods for Mean Field Games and Mean Field Type Control”
M. Lauriere · 2021
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“Neural networks-based backward scheme for fully nonlinear PDEs”
H. Pham, X. Warin and M. Germain · 2021
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