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@article{Crisan:2019:10.1214/18-AAP1407,
author = {Crisan, D and McMurray, E},
doi = {10.1214/18-AAP1407},
journal = {Annals of Applied Probability},
pages = {130--177},
title = {Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction},
url = {http://dx.doi.org/10.1214/18-AAP1407},
volume = {29},
year = {2019}
}

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TY  - JOUR
AB  - We present two cubature on Wiener space algorithms for the numerical solutionof McKean-Vlasov SDEs with smooth scalar interaction. The analysis hinges onsharp gradient to time-inhomogeneous parabolic PDEs bounds. These bounds may beof independent interest. They extend the classical results of Kusuoka \&Stroock. Both algorithms are tested through two numerical examples.
AU  - Crisan,D
AU  - McMurray,E
DO  - 10.1214/18-AAP1407
EP  - 177
PY  - 2019///
SN  - 1050-5164
SP  - 130
TI  - Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
T2  - Annals of Applied Probability
UR  - http://dx.doi.org/10.1214/18-AAP1407
UR  - http://arxiv.org/abs/1703.04177v1
UR  - https://www.imstat.org/journals-and-publications/annals-of-applied-probability/annals-of-applied-probability-future-papers/
UR  - http://hdl.handle.net/10044/1/60956
VL  - 29
ER  -

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