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Particles systems and numerical schemes for mean reflected stochastic differential equations

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اقرأ أكثر حفظ في قائمتي
  • معلومة اضافية
    • Contributors:
      Laboratoire de Mathématiques (LAMA); Université Savoie Mont Blanc (USMB [Université de Savoie] [Université de Chambéry])-Centre National de la Recherche Scientifique (CNRS); Laboratoire de Mathématiques Blaise Pascal (LMBP); Université Blaise Pascal - Clermont-Ferrand 2 (UBP)-Centre National de la Recherche Scientifique (CNRS); ANR-12-BS01-0019,STAB,Stabilité du comportement asymptotique d'EDP, de processus stochastiques et de leurs discrétisations.(2012); Guillin, Arnaud; BLANC - Stabilité du comportement asymptotique d'EDP, de processus stochastiques et de leurs discrétisations. - - STAB2012 - ANR-12-BS01-0019 - BLANC - VALID; Centre National de la Recherche Scientifique (CNRS)-Université Savoie Mont Blanc (USMB [Université de Savoie] [Université de Chambéry])
    • بيانات النشر:
      Institute of Mathematical Statistics, 2020.
    • الموضوع:
      2020
    • نبذة مختصرة :
      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 its law. These reflected equations have been introduced recently in a backward form by Briand, Elie and Hu (Ann. Appl. Probab. 28 (2018) 482–510) in the context of risk measures. We here focus on the forward version of such reflected equations. Our main objective is to provide an approximation of the solutions with the help of interacting particles systems. This approximation allows to design a numerical scheme for this kind of equations.
    • File Description:
      application/pdf
    • ISSN:
      1050-5164
      2168-8737
    • الرقم المعرف:
      10.1214/19-aap1546
    • Rights:
      OPEN
    • الرقم المعرف:
      edsair.doi.dedup.....ca78723f39af69808e57139a8fa0e254