Cubature on Wiener Space for McKean-Vlasov SDEs with Smooth Scalar Interaction

12 Mar 2017 Crisan Dan McMurray Eamon

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... (read more)

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