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February 2019 Cubature on Wiener space for McKean–Vlasov SDEs with smooth scalar interaction
Dan Crisan, Eamon McMurray
Ann. Appl. Probab. 29(1): 130-177 (February 2019). DOI: 10.1214/18-AAP1407

Abstract

We present two cubature on Wiener space algorithms for the numerical solution of McKean–Vlasov SDEs with smooth scalar interaction. First, we consider a method introduced in [Stochastic Process. Appl. 125 (2015) 2206–2255] under a uniformly elliptic assumption and extend the analysis to a uniform strong Hörmander assumption. Then we introduce a new method based on Lagrange polynomial interpolation. The analysis hinges on sharp gradient to time-inhomogeneous parabolic PDEs bounds. These bounds may be of independent interest. They extend the classical results of Kusuoka and Stroock [J. Fac. Sci., Univ. Tokyo, Sect. 1A, Math. 32 (1985) 1–76] and Kusuoka [J. Math. Sci. Univ. Tokyo 10 (2003) 261–277] further developed in [J. Funct. Anal. 263 (2012) 3024–3101; J. Funct. Anal. 268 (2015) 1928–1971; Cubature Methods and Applications (2013), Springer, Cham] and, more recently, in [Probab. Theory Related Fields 171 (2016) 97–148]. Both algorithms are tested through two numerical examples.

Citation

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Dan Crisan. Eamon McMurray. "Cubature on Wiener space for McKean–Vlasov SDEs with smooth scalar interaction." Ann. Appl. Probab. 29 (1) 130 - 177, February 2019. https://doi.org/10.1214/18-AAP1407

Information

Received: 1 August 2016; Revised: 1 January 2018; Published: February 2019
First available in Project Euclid: 5 December 2018

zbMATH: 07039123
MathSciNet: MR3910002
Digital Object Identifier: 10.1214/18-AAP1407

Subjects:
Primary: 60H07, 60H10, 60H30
Secondary: 34F05, 35K55, 35K65

Rights: Copyright © 2019 Institute of Mathematical Statistics

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Vol.29 • No. 1 • February 2019
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