Chaudru de Raynal, P.E.; Garcia Trillos, C.A. - In: Stochastic Processes and their Applications 125 (2015) 6, pp. 2206-2255
We propose a new algorithm to approximate weakly the solution of a McKean–Vlasov SDE. Based on the cubature method of Lyons and Victoir (2004), the algorithm is deterministic differing from the usual methods based on interacting particles. It can be parametrized in order to obtain a given...
