Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction

DOI10.1214/18-AAP1407zbMath1418.60094arXiv1703.04177MaRDI QIDQ670737

Dan Crisan, Eamon McMurray

Publication date: 20 March 2019

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.04177

zbMATH Keywords

cubature on Wiener spaceKusuoka-Stroock functionsLagrange polynomial interpolationMcKean-Vlasov SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Degenerate parabolic equations (35K65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Ordinary differential equations and systems with randomness (34F05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (7)

A higher order weak approximation of McKean-Vlasov type SDEs ⋮ An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables ⋮ Cubature Method for Stochastic Volterra Integral Equations ⋮ An application of the multiplicative Sewing Lemma to the high order weak approximation of stochastic differential equations ⋮ Importance sampling for McKean-Vlasov SDEs ⋮ Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes ⋮ Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs

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