Numerical method for FBSDEs of McKean-Vlasov type (Q2415510)

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Numerical method for FBSDEs of McKean-Vlasov type
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    title
    Numerical method for FBSDEs of McKean-Vlasov type (English)
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    DOI
    10.1214/18-AAP1429
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    author
    François Delarue
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    Dan Crisan
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    publication date
    22 May 2019
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    Mathematics Subject Classification ID
    65C30
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    60H10
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    91A07
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    zbMATH DE Number
    7057463
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    zbMATH Keywords
    McKean-Vlasov
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    master equation
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    forward-backward SDE
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    mean field games
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    numerical approximation
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    arXiv ID
    1703.02007
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    OpenAlex ID
    W2962785112
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    Wikidata QID
    Q128341859
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