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Article Dans Une Revue The Annals of Applied Probability Année : 2019

NUMERICAL METHOD FOR FBSDES OF MCKEAN-VLASOV TYPE

Résumé

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. We establish a bound for the rate of convergence under the assumption that the decoupling field of the forward-bakward SDE (or equivalently the solution of the PDE) satisfies mild regularity conditions. We also provide numerical illustrations.
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Dates et versions

hal-01711187 , version 1 (16-02-2018)

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  • HAL Id : hal-01711187 , version 1

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Jean-François Chassagneux, Dan Crisan, Francois Delarue. NUMERICAL METHOD FOR FBSDES OF MCKEAN-VLASOV TYPE. The Annals of Applied Probability, 2019. ⟨hal-01711187⟩
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