Numerical method for FBSDEs of McKean–Vlasov type
Numerical method for FBSDEs of McKean–Vlasov type
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 …