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@article{Chassagneux:2019:10.1214/18-AAP1429,
author = {Chassagneux, JF and Crisan, D and Delarue, F},
doi = {10.1214/18-AAP1429},
journal = {Annals of Applied Probability},
pages = {1640--1684},
title = {Numerical method for FBSDEs of McKean-Vlasov type},
url = {http://dx.doi.org/10.1214/18-AAP1429},
volume = {29},
year = {2019}
}

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TY  - JOUR
AB  - © Institute of Mathematical Statistics, 2019 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-backward SDE (or equivalently the solution of the PDE) satisfies mild regularity conditions. We also provide numerical illustrations.
AU  - Chassagneux,JF
AU  - Crisan,D
AU  - Delarue,F
DO  - 10.1214/18-AAP1429
EP  - 1684
PY  - 2019///
SN  - 1050-5164
SP  - 1640
TI  - Numerical method for FBSDEs of McKean-Vlasov type
T2  - Annals of Applied Probability
UR  - http://dx.doi.org/10.1214/18-AAP1429
VL  - 29
ER  -

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