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arXiv · 1703.02007

Numerical Method for FBSDEs of McKean-Vlasov Type

Jean-François Chassagneux·Dan Crisan·François Delarue
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Abstract

This paper is dedicated to the presentation and the analysis of a numerical scheme for forward-backward SDEs of the McKean-Vlasov type, or equivalently for solutions to PDEs on the Wasserstein space. Because of the mean field structure of the equation, earlier methods for classical forward-backward systems fail. The scheme is based on a variation of the method of continuation. The principle is to implement recursively local Picard iterations on small time intervals. We establish a bound for the rate of convergence under the assumption that the decoupling field of the forward-bakward SDE (or equivalently the solution of the PDE) satisfies mild regularity conditions. We also provide numerical illustrations.

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Jean-François Chassagneux, Dan Crisan, François Delarue. 2017-03-06. Numerical Method for FBSDEs of McKean-Vlasov Type. https://arxiv.org/abs/1703.02007

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