Numerical solution of the master equation arising in large population stochastic control
نویسنده
چکیده
In this talk, I will first motivate and describe the master equation introduced in large population stochastic control, which is a PDE written on the Wasserstein space. In particular, I will recall the probabilistic representation of its solution in term of a (fully coupled) FBSDE with McKean-Vlasov interaction. I will then introduce a scheme for this class of BSDEs and demonstrate its convergence both theoretically and practically. This is a joint work with D. Crisan and F. Delarue. ∗Speaker sciencesconf.org:montecarlo16:114501
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