Rate of convergence of a particle method to the solution of the McKean--Vlasov equation
Work
Year: 2002
Type: article
Abstract: This paper studies the rate of convergence of an appropriate discretization scheme of the solution of the McKean--Vlasov equation introduced by Bossy and Talay. More specifically, we consider approxim... more
Institution Universitat Pompeu Fabra
Cites: 24
Cited by: 53
Related to: 10
FWCI: 0.565
Citation percentile (by year/subfield): 89.5
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze