摘要 : In the literature there exist approximation methods for McKean-Vlasov stochastic differential equations which have a computational effort of order 3. In this article we introduce full-history recursive multilevel Picard approximat... 展开 In the literature there exist approximation methods for McKean-Vlasov stochastic differential equations which have a computational effort of order 3. In this article we introduce full-history recursive multilevel Picard approximations for McKeanVlasov stochastic differential equations. We prove that these MLP approximations have computational effort of order 2+ which is essentially optimal in high dimensions. (c) 2021 Elsevier Inc. All rights reserved. 收起