most citedA cubature based algorithm to solve decoupled McKean-Vlasov Forward Backward Stochastic Differential Equations

33 citations · 33 across the 1 of their papers we have counts for

collaborators

1 paper

math.PR2013★ 33 cited

A cubature based algorithm to solve decoupled McKean-Vlasov Forward Backward Stochastic Differential Equations

Paul-Eric Chaudru de Raynal, Camilo Garcia Trillos

We propose a new algorithm to approach weakly the solution of a McKean-Vlasov SDE. Based on the cubature method of Lyons and Victoir 2004, the algorithm is deterministic differing…