A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations (Q2342392): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(4 intermediate revisions by 4 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2127975978 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1307.6427 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Rate of convergence of a particle method to the solution of the McKean-Vlasov equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Cubature on Wiener space in infinite dimension / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4657105 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some stochastic particle methods for nonlinear parabolic PDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-field backward stochastic differential equations and related partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Evolution Equations in Portfolio Credit Modelling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean field forward-backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Probabilistic Analysis of Mean-Field Games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Control of McKean-Vlasov dynamics versus mean field games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hypoelliptic non-homogeneous diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5423777 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimal Entropy Approximations and Optimal Algorithms / rank
 
Normal rank
Property / cites work
 
Property / cites work: Second order discretization of backward SDEs and simulation with the cubature method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solving backward stochastic differential equations using the cubature method: Application to nonlinear pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Cubature methods for stochastic (partial) differential equations in weighted spaces / rank
 
Normal rank
Property / cites work
 
Property / cites work: Controlled Markov processes and viscosity solutions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Classes of solutions of linear systems of partial differential equations of parabolic type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient and Practical Implementations of Cubature on Wiener Space / rank
 
Normal rank
Property / cites work
 
Property / cites work: Path regularity and explicit convergence rate for BSDE with truncated quadratic growth / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4004325 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4535130 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3771355 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean field games. I: The stationary case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean field games. II: Finite horizon and optimal control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large investor trading impacts on volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean field games / rank
 
Normal rank
Property / cites work
 
Property / cites work: High order recombination and an application to cubature on Wiener space / rank
 
Normal rank
Property / cites work
 
Property / cites work: Cubature on Wiener space / rank
 
Normal rank
Property / cites work
 
Property / cites work: Representation theorems for backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4029028 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time stochastic control and optimization with financial applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical simulation of BSDEs with drivers of quadratic growth / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3358031 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Calculating the Greeks by cubature formulae / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 00:07, 10 July 2024

scientific article
Language Label Description Also known as
English
A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
scientific article

    Statements

    A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations (English)
    0 references
    0 references
    28 April 2015
    0 references
    cubature
    0 references
    McKean-Vlasov processes
    0 references
    BSDE
    0 references
    mean field games
    0 references
    non-local PDE
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references