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Simulation of Mckean-Vlasov Bsdes by Wiener Chaos Expansion

Author

Listed:
  • Céline Acary-Robert

    (Inria, CNRS, Grenoble INP, LJK)

  • Philippe Briand

    (CNRS, LAMA)

  • Abir Ghannoum

    (CNRS, LAMA
    LaMA-Liban)

  • Céline Labart

    (CNRS, LAMA)

Abstract

We present an algorithm to solve McKean-Vlasov BSDEs based on Wiener chaos expansion and Picard’s iterations and study its convergence. This paper extends the results obtained by Briand and Labart (The Annal Appl Probab 24(3):1129–1171, 2014) when standard BSDEs were considered. 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.

Suggested Citation

  • Céline Acary-Robert & Philippe Briand & Abir Ghannoum & Céline Labart, 2025. "Simulation of Mckean-Vlasov Bsdes by Wiener Chaos Expansion," Methodology and Computing in Applied Probability, Springer, vol. 27(2), pages 1-39, June.
    • Handle: RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10172-8
    DOI: 10.1007/s11009-025-10172-8
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