Tamed Euler–Maruyama approximation of McKean–Vlasov stochastic differential equations with super-linear drift and Hölder diffusion coefficients
Author:
Funder
National Natural Science Foundation of China
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics,Numerical Analysis
Reference39 articles.
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1. Convergence of a partially truncated Euler-Maruyama method for SDEs with super-linear piecewise continuous drift and Hölder diffusion coefficients;Numerical Algorithms;2024-09-04
2. One-dimensional McKean–Vlasov stochastic variational inequalities and coupled BSDEs with locally Hölder noise coefficients;Stochastic Processes and their Applications;2024-05
3. Convergence rate of the truncated Euler-Maruyama method for highly nonlinear neutral stochastic differential equations with time-dependent delay;Open Mathematics;2024-01-01
4. Convergence of the Euler–Maruyama Particle Scheme for a Regularised McKean–Vlasov Equation Arising from the Calibration of Local-Stochastic Volatility Models;Springer Proceedings in Mathematics & Statistics;2024
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