کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155468 | 958731 | 2015 | 50 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We propose a new algorithm to approximate weakly the solution of a McKean–Vlasov SDE. Based on the cubature method of Lyons and Victoir (2004), the algorithm is deterministic differing from the usual methods based on interacting particles. It can be parametrized in order to obtain a given order of convergence.Then, we construct implementable algorithms to solve decoupled Forward–Backward Stochastic Differential equations (FBSDE) of McKean–Vlasov type, which appear in some stochastic control problems in a mean field environment. We give two algorithms and show that they have convergence of order one and two under appropriate regularity conditions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 125, Issue 6, June 2015, Pages 2206–2255
Journal: Stochastic Processes and their Applications - Volume 125, Issue 6, June 2015, Pages 2206–2255
نویسندگان
P.E. Chaudru de Raynal, C.A. Garcia Trillos,