Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
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Publication:670737
DOI10.1214/18-AAP1407zbMath1418.60094arXiv1703.04177MaRDI QIDQ670737
Publication date: 20 March 2019
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.04177
cubature on Wiener space; Kusuoka-Stroock functions; Lagrange polynomial interpolation; McKean-Vlasov SDEs
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
35K55: Nonlinear parabolic equations
35K65: Degenerate parabolic equations
60H30: Applications of stochastic analysis (to PDEs, etc.)
34F05: Ordinary differential equations and systems with randomness
60H07: Stochastic calculus of variations and the Malliavin calculus
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