A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
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Publication:2342392
DOI10.1016/j.spa.2014.11.018zbMath1320.65015arXiv1307.6427OpenAlexW2127975978MaRDI QIDQ2342392
Publication date: 28 April 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.6427
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Other game-theoretic models (91A40) Numerical solutions to stochastic differential and integral equations (65C30) Numerical integration (65D30)
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