Cemracs 2017: numerical probabilistic approach to MFG
This project investigates numerical methods for solving fully coupled forward-backward stochastic differential equations (FBSDEs) of McKean-Vlasov type. Having numerical solvers for such mean field FBSDEs is of interest because of the potential application of these equations to optimization problems...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2019-01-01
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| Series: | ESAIM: Proceedings and Surveys |
| Online Access: | https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196505.pdf |