Numerical method for FBSDEs of McKean-Vlasov type

DOI10.1214/18-AAP1429zbMath1466.65012arXiv1703.02007WikidataQ128341859 ScholiaQ128341859MaRDI QIDQ2415510

François Delarue, Jean-François Chassagneux, Dan Crisan

Publication date: 22 May 2019

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.02007

zbMATH Keywords

numerical approximation; master equation; mean field games; forward-backward SDE; McKean-Vlasov

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91A07: Games with infinitely many players

65C30: Numerical solutions to stochastic differential and integral equations

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