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A cubature based algorithm to solve decoupled McKean-Vlasov Forward Backward Stochastic Differential Equations

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Academic year: 2021

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Figure 1 right illustrates the idea behind the backward approximation: the approximated function ˆ u is defined first at the leaves of the constructed tree, and then back-propagates using the approximated law to obtain ˆu at previous times
Figure 2 shows the obtained rate of convergence where we have used the uniform discretization in the (SB) case and the discretization with γ = 2 for the (LB) case
Figure 3. Weak approximation of the backward variable: The calculated rates are the slope of a linear regression on the last 8 points.
Figure 4. Results in dimension 2 and 4.

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