Numerical method for FBSDEs of McKean-Vlasov type
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Publication:2415510
DOI10.1214/18-AAP1429zbMath1466.65012arXiv1703.02007OpenAlexW2962785112WikidataQ128341859 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
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Games with infinitely many players (91A07) Numerical solutions to stochastic differential and integral equations (65C30)
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