Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
File(s)CubatureforMcKeanVlasovaccepted.pdf (395.25 KB)
Accepted version
Author(s)
Crisan, Dan
McMurray, Eamon
Type
Journal Article
Abstract
We present two cubature on Wiener space algorithms for the numerical solution
of McKean-Vlasov SDEs with smooth scalar interaction. 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 \&
Stroock. Both algorithms are tested through two numerical examples.
of McKean-Vlasov SDEs with smooth scalar interaction. 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 \&
Stroock. Both algorithms are tested through two numerical examples.
Date Issued
2019-02-01
Date Acceptance
2018-06-03
Citation
Annals of Applied Probability, 29 (1), pp.130-177
ISSN
1050-5164
Publisher
Institute of Mathematical Statistics
Start Page
130
End Page
177
Journal / Book Title
Annals of Applied Probability
Volume
29
Issue
1
Copyright Statement
© Institute of Mathematical Statistics, 2019
Sponsor
Engineering & Physical Science Research Council (EPSRC)
Identifier
http://arxiv.org/abs/1703.04177v1
Grant Number
DPF2014-P55224-McMurray
Subjects
math.PR
math.PR
Publication Status
Published
Date Publish Online
2018-12-05