Matches in SemOpenAlex for { <https://semopenalex.org/work/W4386834345> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W4386834345 abstract "Abstract Fully coupled McKean–Vlasov forward-backward stochastic differential equations (MV-FBSDEs) arise naturally from large population optimization problems. Judging the quality of given numerical solutions for MV-FBSDEs, which usually require Picard iterations and approximations of nested conditional expectations, is typically difficult. This paper proposes an a posteriori error estimator to quantify the $L^2$-approximation error of an arbitrarily generated approximation on a time grid. We establish that the error estimator is equivalent to the global approximation error between the given numerical solution and the solution of a forward Euler discretized MV-FBSDE. A crucial and challenging step in the analysis is the proof of stability of this Euler approximation to the MV-FBSDE, which is of independent interest. We further demonstrate that, for sufficiently fine time grids, the accuracy of numerical solutions for solving the continuous MV-FBSDE can also be measured by the error estimator. The error estimates justify the use of residual-based algorithms for solving MV-FBSDEs. Numerical experiments for MV-FBSDEs arising from mean field control and games confirm the effectiveness and practical applicability of the error estimator." @default.
- W4386834345 created "2023-09-19" @default.
- W4386834345 creator A5004119465 @default.
- W4386834345 creator A5013285444 @default.
- W4386834345 creator A5032754635 @default.
- W4386834345 date "2023-09-15" @default.
- W4386834345 modified "2023-09-26" @default.
- W4386834345 title "<i>A posteriori</i> error estimates for fully coupled McKean–Vlasov forward-backward SDEs" @default.
- W4386834345 cites W1740091825 @default.
- W4386834345 cites W1820663283 @default.
- W4386834345 cites W1985050062 @default.
- W4386834345 cites W1999040016 @default.
- W4386834345 cites W2016775936 @default.
- W4386834345 cites W2031072241 @default.
- W4386834345 cites W2039236761 @default.
- W4386834345 cites W2075423166 @default.
- W4386834345 cites W2095445700 @default.
- W4386834345 cites W2127975978 @default.
- W4386834345 cites W2164907988 @default.
- W4386834345 cites W2167018969 @default.
- W4386834345 cites W2544951676 @default.
- W4386834345 cites W2625995436 @default.
- W4386834345 cites W2786314843 @default.
- W4386834345 cites W2899507754 @default.
- W4386834345 cites W2930796852 @default.
- W4386834345 cites W2950427768 @default.
- W4386834345 cites W2962785112 @default.
- W4386834345 cites W2962959639 @default.
- W4386834345 cites W2963412531 @default.
- W4386834345 cites W2975505203 @default.
- W4386834345 cites W2993551995 @default.
- W4386834345 cites W3004573026 @default.
- W4386834345 cites W3006595078 @default.
- W4386834345 cites W3023814359 @default.
- W4386834345 cites W3024682624 @default.
- W4386834345 cites W3027682703 @default.
- W4386834345 cites W3103112879 @default.
- W4386834345 cites W342919933 @default.
- W4386834345 cites W4229984434 @default.
- W4386834345 cites W4297584681 @default.
- W4386834345 cites W4367298538 @default.
- W4386834345 doi "https://doi.org/10.1093/imanum/drad060" @default.
- W4386834345 hasPublicationYear "2023" @default.
- W4386834345 type Work @default.
- W4386834345 citedByCount "0" @default.
- W4386834345 crossrefType "journal-article" @default.
- W4386834345 hasAuthorship W4386834345A5004119465 @default.
- W4386834345 hasAuthorship W4386834345A5013285444 @default.
- W4386834345 hasAuthorship W4386834345A5032754635 @default.
- W4386834345 hasBestOaLocation W43868343451 @default.
- W4386834345 hasConcept C105795698 @default.
- W4386834345 hasConcept C111472728 @default.
- W4386834345 hasConcept C11413529 @default.
- W4386834345 hasConcept C122383733 @default.
- W4386834345 hasConcept C126255220 @default.
- W4386834345 hasConcept C134306372 @default.
- W4386834345 hasConcept C138885662 @default.
- W4386834345 hasConcept C155512373 @default.
- W4386834345 hasConcept C185429906 @default.
- W4386834345 hasConcept C28826006 @default.
- W4386834345 hasConcept C33923547 @default.
- W4386834345 hasConcept C48753275 @default.
- W4386834345 hasConcept C51955184 @default.
- W4386834345 hasConcept C62884695 @default.
- W4386834345 hasConcept C73000952 @default.
- W4386834345 hasConcept C75380026 @default.
- W4386834345 hasConcept C75553542 @default.
- W4386834345 hasConceptScore W4386834345C105795698 @default.
- W4386834345 hasConceptScore W4386834345C111472728 @default.
- W4386834345 hasConceptScore W4386834345C11413529 @default.
- W4386834345 hasConceptScore W4386834345C122383733 @default.
- W4386834345 hasConceptScore W4386834345C126255220 @default.
- W4386834345 hasConceptScore W4386834345C134306372 @default.
- W4386834345 hasConceptScore W4386834345C138885662 @default.
- W4386834345 hasConceptScore W4386834345C155512373 @default.
- W4386834345 hasConceptScore W4386834345C185429906 @default.
- W4386834345 hasConceptScore W4386834345C28826006 @default.
- W4386834345 hasConceptScore W4386834345C33923547 @default.
- W4386834345 hasConceptScore W4386834345C48753275 @default.
- W4386834345 hasConceptScore W4386834345C51955184 @default.
- W4386834345 hasConceptScore W4386834345C62884695 @default.
- W4386834345 hasConceptScore W4386834345C73000952 @default.
- W4386834345 hasConceptScore W4386834345C75380026 @default.
- W4386834345 hasConceptScore W4386834345C75553542 @default.
- W4386834345 hasLocation W43868343451 @default.
- W4386834345 hasOpenAccess W4386834345 @default.
- W4386834345 hasPrimaryLocation W43868343451 @default.
- W4386834345 hasRelatedWork W1996322735 @default.
- W4386834345 hasRelatedWork W2001321943 @default.
- W4386834345 hasRelatedWork W2067924060 @default.
- W4386834345 hasRelatedWork W2075832483 @default.
- W4386834345 hasRelatedWork W2092873135 @default.
- W4386834345 hasRelatedWork W2148982133 @default.
- W4386834345 hasRelatedWork W2911367846 @default.
- W4386834345 hasRelatedWork W2963274374 @default.
- W4386834345 hasRelatedWork W3022593427 @default.
- W4386834345 hasRelatedWork W3162423291 @default.
- W4386834345 isParatext "false" @default.
- W4386834345 isRetracted "false" @default.
- W4386834345 workType "article" @default.