Cubature on Wiener Space for McKean-Vlasov SDEs with Smooth Scalar Interaction

Dan Crisan; Eamon McMurray

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arXiv · 1703.04177

Cubature on Wiener Space for McKean-Vlasov SDEs with Smooth Scalar Interaction

Dan Crisan·Eamon McMurray

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Abstract

We present two cubature on Wiener space algorithms for the numerical solution of McKean-Vlasov SDEs with smooth scalar interaction. The analysis hinges on sharp gradient to time-inhomogeneous parabolic PDEs bounds. These bounds may be of independent interest. They extend the classical results of Kusuoka \& Stroock. Both algorithms are tested through two numerical examples.

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BibTeX RIS

Dan Crisan, Eamon McMurray. 2017-03-12. Cubature on Wiener Space for McKean-Vlasov SDEs with Smooth Scalar Interaction. https://arxiv.org/abs/1703.04177

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