Numerical method for FBSDEs of McKean-Vlasov type
type: Item
instance of: scholarly article
title: Numerical method for FBSDEs of McKean-Vlasov type
zbMATH Open document ID: 1466.65012
DOI: 10.1214/18-AAP1429
author: Jean-Francois Chassagneux
author: François Delarue
author: Dan Crisan
published in: The Annals of Applied Probability
publication date: 2019-05-22T00:00:00Z
full work available at URL: https://arxiv.org/abs/1703.02007
full work available at URL: https://projecteuclid.org/euclid.aoap/1550566839
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91A07
zbMATH DE Number: 7057463
zbMATH Keywords: McKean-Vlasov
zbMATH Keywords: master equation
zbMATH Keywords: forward-backward SDE
zbMATH Keywords: mean field games
zbMATH Keywords: numerical approximation
MaRDI profile type: Publication
arXiv ID: 1703.02007
OpenAlex ID: W2962785112
Wikidata QID: Q128341859
description: scientific article