Numerical methods for mean-field stochastic differential equations with jumps

DOI10.1007/S11075-020-01062-WMaRDI QIDQ820736zbMATH OpenOpenAlexWikidataFDO

Authors Yabing Sun, Weidong Zhao

Publication date 27 September 2021

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.04783

zbMATH Keywords

error estimatesItô formulaItô-Taylor expansionItô-Taylor schemesmean-field stochastic differential equations with jumps

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: In this paper, we are devoted to the numerical methods for mean-field stochastic differential equations with jumps (MSDEJs). First by using the mean-field It^o formula [Sun, Yang and Zhao, Numer. Math. Theor. Meth. Appl., 10 (2017), pp.~798--828], we develop the It^o formula and construct the It^o-Taylor expansion for MSDEJs. Then based on the It^o-Taylor expansion, we propose the strong order $gamma$ and the weak order $eta$ It^o-Taylor schemes for MSDEJs. %We theoretically prove The strong and weak convergence rates $gamma$ and $eta$ of the strong and weak It^o-Taylor schemes are theoretically proved, respectively. Finally some numerical tests are also presented to verify our theoretical conclusions.

Recommendations

• Itô-Taylor schemes for solving mean-field stochastic differential equations
• scientific article; zbMATH DE number 1054336
• Large deviations of mean-field stochastic differential equations with jumps
• Numerical schemes for fully coupled mean-field forward backward stochastic differential equations
• Strong approximations of stochastic differential equations with jumps

Cites work

• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
• A class of quasilinear stochastic partial differential equations of McKean-Vlasov type with mass conservation
• A stochastic particle method for the McKean-Vlasov and the Burgers equation
• A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations
• An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
• Controlled mean-field backward stochastic differential equations with jumps involving the value function
• Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations
• Financial Modelling with Jump Processes
• Gauss-quadrature method for one-dimensional mean-field SDEs
• Higher-order implicit strong numerical schemes for stochastic differential equations
• scientific article; zbMATH DE number 3121490 (Why is no real title available?)
• scientific article; zbMATH DE number 933353 (Why is no real title available?)
• Itô-Taylor schemes for solving mean-field stochastic differential equations
• Mean field games
• Mean field games and applications
• Mean field games for large-population multiagent systems with Markov jump parameters
• Mean-field backward stochastic differential equations and related partial differential equations
• Mean-field backward stochastic differential equations: A limit approach
• Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
• Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem
• Mean-field stochastic differential equations and associated PDEs
• Mean-field stochastic linear-quadratic optimal control with Markov jump parameters
• Numerical methods for nonlinear stochastic differential equations with jumps
• Numerical solution of stochastic differential equations with jumps in finance
• Probabilistic analysis of mean-field games
• The fractional Neumann and Robin type boundary conditions for the regional fractional p-Laplacian
• The Master Equation and the Convergence Problem in Mean Field Games
• Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
• Well-posedness of mean-field type forward-backward stochastic differential equations

Cited in

(6)

• Itô-Taylor schemes for solving mean-field stochastic differential equations
• Gauss-quadrature method for one-dimensional mean-field SDEs
• Numerical schemes for fully coupled mean-field forward backward stochastic differential equations
• An accurate numerical scheme for mean-field forward and backward SDEs with jumps
• A new second order numerical scheme for solving decoupled mean-field FBSDEs with jumps
• A new second order numerical scheme for solving decoupled mean-field FBSDES with jumps

This page was built for publication: Numerical methods for mean-field stochastic differential equations with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q820736)