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