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math.NA2022★ 1 cited
Particle method and quantization-based schemes for the simulation of the McKean-Vlasov equation
Yating Liu
In this paper, we study three numerical schemes for the McKean-Vlasov equation \[\begin{cases} \;dX_t=b(t, X_t, μ_t) \, dt+σ(t, X_t, μ_t) \, dB_t,\: \\ \;\forall\, t\in[0,T],\;μ_t…
math.PR2022
Particle method for the numerical simulation of the path-dependent McKean-Vlasov equation
Armand Bernou, Yating Liu
We present the particle method for simulating the solution to the path-dependent McKean-Vlasov equation, in which both the drift and the diffusion coefficients depend on the whole…