Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

SIMULATION OF MCKEAN-VLASOV BSDES BY WIENER CHAOS EXPANSION

Abstract : We present an algorithm to solve McKean-Vlasov BSDEs based on Wiener chaos expansion and Picard's iterations and study its convergence. This paper extends the results obtained by Briand and Labart in [BL14] when standard BSDEs were considered. Here we are faced with the problem of the approximation of the law of (Y, Z) in the driver, that we solve by using a particle system. In order to avoid solving a system of BSDEs, which would not be feasible in practice, we use the same particles to approximate the law of (Y, Z) and to compute Monte Carlo approximations. This leads to an algorithm which doesn't cost more than the standard one.
Document type :
Preprints, Working Papers, ...
Complete list of metadatas

Cited literature [34 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-01976770
Contributor : Céline Labart <>
Submitted on : Thursday, January 10, 2019 - 11:47:48 AM
Last modification on : Wednesday, June 10, 2020 - 9:55:45 AM

Identifiers

  • HAL Id : hal-01976770, version 1

Collections

Citation

Céline Acary-Robert, Philippe Briand, Abir Ghannoum, Céline Labart. SIMULATION OF MCKEAN-VLASOV BSDES BY WIENER CHAOS EXPANSION. 2019. ⟨hal-01976770⟩

Share

Metrics

Record views

161

Files downloads

157