A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps
Author:
Affiliation:
1. Adam Smith Business School, University of Glasgow, Glasgow, UK
2. Dipartimento di Matematica, Università di Bologna, Bologna, Italy
Funder
Institut Louis Bachelier
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2020.1771337
Reference23 articles.
1. McKean–Vlasov limit for interacting systems with simultaneous jumps
2. Rate of convergence of a particle method to the solution of the McKean--Vlasov equation
3. Projected Particle Methods for Solving McKean--Vlasov Stochastic Differential Equations
4. A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations
5. Stochastic McKean-Vlasov equations
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1. Euler simulation of interacting particle systems and McKean–Vlasov SDEs with fully super-linear growth drifts in space and interaction;IMA Journal of Numerical Analysis;2023-05-11
2. A flexible split‐step scheme for solving McKean‐Vlasov stochastic differential equations;Applied Mathematics and Computation;2022-08
3. Multilevel Picard approximations for McKean-Vlasov stochastic differential equations;Journal of Mathematical Analysis and Applications;2022-03
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