The Annals of Applied Probability
- Ann. Appl. Probab.
- Volume 29, Number 3 (2019), 1640-1684.
Numerical method for FBSDEs of McKean–Vlasov type
This paper is dedicated to the presentation and the analysis of a numerical scheme for forward–backward SDEs of the McKean–Vlasov type, or equivalently for solutions to PDEs on the Wasserstein space. Because of the mean field structure of the equation, earlier methods for classical forward–backward systems fail. The scheme is based on a variation of the method of continuation. The principle is to implement recursively local Picard iterations on small time intervals.
We establish a bound for the rate of convergence under the assumption that the decoupling field of the forward–backward SDE (or equivalently the solution of the PDE) satisfies mild regularity conditions. We also provide numerical illustrations.
Ann. Appl. Probab., Volume 29, Number 3 (2019), 1640-1684.
Received: June 2017
Revised: March 2018
First available in Project Euclid: 19 February 2019
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Chassagneux, Jean-François; Crisan, Dan; Delarue, François. Numerical method for FBSDEs of McKean–Vlasov type. Ann. Appl. Probab. 29 (2019), no. 3, 1640--1684. doi:10.1214/18-AAP1429. https://projecteuclid.org/euclid.aoap/1550566839