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Title: Numerical Methods for the McKean-Vlasov Equation
Authors: Yun, Sean
Advisors: Shkolnikov, Mykhaylo
Department: Operations Research and Financial Engineering
Class Year: 2016
Abstract: This thesis aims to explore the stochastic differential equation that satisfies the McKean-Vlasov process, in which the coefficients depend on the distribution of the solution itself. Because the McKean-Vlasov equation does not have a closed-form ana- lytical solution, we seek to develop numerical methods that would provide approxima- tions of the McKean-Vlasov process. By looking at autonomous stochastic differen- tial equations with established numerical methods, specifically the Euler-Maruyama method and Milstein's method, we look into developing analogous methods for the McKean-Vlasov process.
Extent: 41 pages
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2017

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