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Date: 23 Jul. (Thu.)
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Place: On the Web
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Time: 16:30-18:00
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Speaker: Toshihiro Yamada (Hitotsubashi University)
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Title: Higher order weak approximation for SDEs and BSDEs of McKean-Vlasov type
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Abstract:
In this talk, we give a higher order discretization method for McKean-Vlasov type SDEs. Numerical examples for the discretization (up to fourth order) scheme are shown for McKean-Vlasov SDEs. Also, we introduce a second order discretization scheme for decoupled McKean-Vlasov BSDEs. Some applications will be discussed.
The talk is based on the joint work with Riu Naito.
日本語
English