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Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
| File | Description | Size | Format | |
|---|---|---|---|---|
 CubatureforMcKeanVlasovaccepted.pdf | Accepted version | 395.25 kB | Adobe PDF | View/Open |
| Title: | Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction |
| Authors: | Crisan, D McMurray, E |
| Item 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. |
| Issue Date: | 1-Feb-2019 |
| Date of Acceptance: | 3-Jun-2018 |
| URI: | http://hdl.handle.net/10044/1/60956 |
| DOI: | https://doi.org/10.1214/18-AAP1407 |
| 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/Funder: | Engineering & Physical Science Research Council (EPSRC) |
| Funder's Grant Number: | DPF2014-P55224-McMurray |
| Keywords: | math.PR math.PR math.PR math.PR Statistics & Probability 0102 Applied Mathematics 0104 Statistics |
| Publication Status: | Published |
| Online Publication Date: | 2018-12-05 |
| Appears in Collections: | Pure Mathematics Faculty of Natural Sciences Mathematics |