Particles Systems and Numerical Schemes for Mean Reflected Stochastic Differential Equations
Probability
2020-08-26 v3
Abstract
This paper is devoted to the study of reflected Stochastic Differential Equations when the constraint is not on the paths of the solution but acts on the law of the solution. These reflected equations have been introduced recently by Briand, Elie and Hu (arXiv:1605.06301) in the context of risk measures. Our main objective is to provide an approximation of solutions to these reflected SDEs with the help of interacting particles systems. This approximation allows to design a numerical scheme for this kind of equations.
Keywords
Cite
@article{arxiv.1612.06886,
title = {Particles Systems and Numerical Schemes for Mean Reflected Stochastic Differential Equations},
author = {Philippe Briand and Paul-Éric Chaudru de Raynal and Arnaud Guillin and Céline Labart},
journal= {arXiv preprint arXiv:1612.06886},
year = {2020}
}