A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations (Q2342392)
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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 |
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A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations (English)
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28 April 2015
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cubature
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McKean-Vlasov processes
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BSDE
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mean field games
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non-local PDE
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