Learning High-Dimensional McKean–Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence (Q6184510): Difference between revisions

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scientific article; zbMATH DE number 7794520

Language	Label	Description	Also known as
English	Learning High-Dimensional McKean–Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence	scientific article; zbMATH DE number 7794520

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instance of

scholarly article

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title

Learning High-Dimensional McKean–Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence (English)

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SIAM Journal on Numerical Analysis

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publication date

25 January 2024

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full work available at URL

https://arxiv.org/abs/2204.11924

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zbMATH Keywords

McKean-Vlasov FBSDE

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fictitious play

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mean-field games

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deep BSDE

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maximum mean discrepancy

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convergence analysis

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MaRDI profile type

MaRDI publication profile

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cites work

Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach

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Mean field games and applications: numerical aspects

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Convergence of some mean field games systems to aggregation and flocking models

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Time discretization and Markovian iteration for coupled FBSDEs

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Q5808755

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Mean field forward-backward stochastic differential equations

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Probabilistic Analysis of Mean-Field Games

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Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics

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Probabilistic Theory of Mean Field Games with Applications I

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Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case

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Numerical method for FBSDEs of McKean-Vlasov type

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On the mathematics of emergence

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

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Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

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The Barron space and the flow-induced function spaces for neural network models

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Numerical resolution of McKean-Vlasov FBSDEs using neural networks

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Convergence of deep fictitious play for stochastic differential games

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A class of dimension-free metrics for the convergence of empirical measures

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Solving high-dimensional partial differential equations using deep learning

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Convergence of the deep BSDE method for coupled FBSDEs

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Deep fictitious play for stochastic differential games

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Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle

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Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria

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Deep backward schemes for high-dimensional nonlinear PDEs

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Mean field games. I: The stationary case

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Mean field games. II: Finite horizon and optimal control

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Mean field games

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Integral Probability Metrics and Their Generating Classes of Functions

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A Cucker--Smale Inspired Deterministic Mean Field Game with Velocity Interactions

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Backward Stochastic Differential Equations

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Identifiers

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6184510

@@ Property / cites work @@
+Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach
+Normal rank
@@ Property / cites work @@
+Mean field games and applications: numerical aspects
+Normal rank
@@ Property / cites work @@
+Convergence of some mean field games systems to aggregation and flocking models
+Normal rank
@@ Property / cites work @@
+Time discretization and Markovian iteration for coupled FBSDEs
+Normal rank
@@ Property / cites work @@
+Q5808755
@@ Property / cites work: Q5808755 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean field forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Probabilistic Analysis of Mean-Field Games
@@ Property / cites work: Probabilistic Analysis of Mean-Field Games / rank @@
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
+Normal rank
@@ Property / cites work @@
+Probabilistic Theory of Mean Field Games with Applications I
+Normal rank
@@ Property / cites work @@
+Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case
+Normal rank
@@ Property / cites work @@
+Numerical method for FBSDEs of McKean-Vlasov type
@@ Property / cites work: Numerical method for FBSDEs of McKean-Vlasov type / rank @@
+Normal rank
@@ Property / cites work @@
+On the mathematics of emergence
@@ Property / cites work: On the mathematics of emergence / rank @@
+Normal rank
@@ Property / cites work @@
+A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+The Barron space and the flow-induced function spaces for neural network models
+Normal rank
@@ Property / cites work @@
+Numerical resolution of McKean-Vlasov FBSDEs using neural networks
+Normal rank
@@ Property / cites work @@
+Convergence of deep fictitious play for stochastic differential games
+Normal rank
@@ Property / cites work @@
+A class of dimension-free metrics for the convergence of empirical measures
+Normal rank
@@ Property / cites work @@
+Solving high-dimensional partial differential equations using deep learning
+Normal rank
@@ Property / cites work @@
+Convergence of the deep BSDE method for coupled FBSDEs
+Normal rank
@@ Property / cites work @@
+Deep fictitious play for stochastic differential games
+Normal rank
@@ Property / cites work @@
+Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
+Normal rank
@@ Property / cites work @@
+Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
+Normal rank
@@ Property / cites work @@
+Deep backward schemes for high-dimensional nonlinear PDEs
+Normal rank
@@ Property / cites work @@
+Mean field games. I: The stationary case
@@ Property / cites work: Mean field games. I: The stationary case / rank @@
+Normal rank
@@ Property / cites work @@
+Mean field games. II: Finite horizon and optimal control
+Normal rank
@@ Property / cites work @@
+Mean field games
@@ Property / cites work: Mean field games / rank @@
+Normal rank
@@ Property / cites work @@
+Integral Probability Metrics and Their Generating Classes of Functions
+Normal rank
@@ Property / cites work @@
+A Cucker--Smale Inspired Deterministic Mean Field Game with Velocity Interactions
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations
@@ Property / cites work: Backward Stochastic Differential Equations / rank @@
+Normal rank