Particles Systems and Numerical Schemes for Mean Reflected Stochastic Differential Equations

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 meas...

Full description

Saved in:
Bibliographic Details
Published in:arXiv.org 2017-03
Main Authors: Briand, Philippe, Paul-Éric Chaudru de Raynal, Guillin, Arnaud, Labart, Céline
Format: Article
Language:English
Subjects:
Approximation
Differential equations
Economic models
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:2331-8422
DOI:10.48550/arxiv.1612.06886