Numerical method for FBSDEs of McKean-Vlasov type
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Publication:2415510
DOI10.1214/18-AAP1429zbMath1466.65012arXiv1703.02007MaRDI QIDQ2415510
Jean-François Chassagneux, François Delarue, 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
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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