19 mars 2024
Séminaire_19_mars
Céline Labart (Université Savoie Mont Blanc)
Le 19 mars 2024
Simulation of McKean-Vlasov BSDEs by Wiener Chaos Expansion
Abstract : We present an algorithm to solve McKean-Vlasov BSDEs based on Wiener chaos expansion and Picard's iterations and study its convergence. Here we are faced with the problem of the approximation of the law of (Y,Z) in the driver, that we solve by using a particle system. In order to avoid solving a system of BSDEs, which would not be feasible in practice, we use the same particles to approximate the law of (Y,Z) and to compute Monte Carlo approximations.
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