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Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs - MaRDI portal

Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs (Q1994897)

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English	Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs	scientific article

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scholarly article

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Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs (English)

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Stochastic Processes and their Applications

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publication date

18 February 2021

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full work available at URL

https://arxiv.org/abs/2001.07505

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zbMATH Keywords

McKean-Vlasov SDEs

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Lévy driven SDEs

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strong uniqueness

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propagation of chaos

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MaRDI profile type

MaRDI publication profile

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Systemic Risk in Interbanking Networks

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Strong well posedness of McKean-Vlasov stochastic differential equations with hölder drift

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Stability in a Model of Interbank Lending

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On pathwise uniqueness for stochastic differential equations driven by stable Lévy processes

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On the rate of convergence in Wasserstein distance of the empirical measure

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Stochastic equations of non-negative processes with jumps

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A certain class of diffusion processes associated with nonlinear parabolic equations

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On the McKean-Vlasov Limit for Interacting Diffusions

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Default clustering in large portfolios: typical events

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LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT

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A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients

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Approximation and Stability of Solutions of SDEs Driven by a Symmetric α Stable Process with Non-Lipschitz Coefficients

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Remarks on the rate of strong convergence of Euler-Maruyama approximation for SDEs driven by rotation invariant stable processes

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Alpha-CIR model with branching processes in sovereign interest rate modeling

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Diffusions with a nonlinear irregular drift coefficient and probabilistic interpretation of generalized Burgers' equations

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Nonlinear SDEs driven by L\'evy processes and related PDEs

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On a strong form of propagation of chaos for McKean-Vlasov equations

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Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games

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Strong solutions for stochastic differential equations with jumps

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On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case

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On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients

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A martingale approach to the law of large numbers for weakly interacting stochastic processes

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Theory of stochastic differential equations with jumps and applications.

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On the uniqueness of solutions of stochastic differential equations

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.SPA.2020.10.002

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Sitelinks

Mathematics(1 entry)

mardi Publication:1994897

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