Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction

DOI10.1214/18-AAP1407zbMath1418.60094arXiv1703.04177MaRDI QIDQ670737

Dan Crisan, Eamon McMurray

Publication date: 20 March 2019

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.04177

zbMATH Keywords

cubature on Wiener space; Kusuoka-Stroock functions; Lagrange polynomial interpolation; McKean-Vlasov SDEs

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

35K55: Nonlinear parabolic equations

35K65: Degenerate parabolic equations

60H30: Applications of stochastic analysis (to PDEs, etc.)

34F05: Ordinary differential equations and systems with randomness

60H07: Stochastic calculus of variations and the Malliavin calculus

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