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A difference method for the McKean-Vlasov equation - MaRDI portal

A difference method for the McKean-Vlasov equation (Q2327875)

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A difference method for the McKean-Vlasov equation
scientific article

    Statements

    title
    A difference method for the McKean-Vlasov equation (English)
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    publication date
    8 October 2019
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    zbMATH Keywords
    option pricing
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    well posedness
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    difference scheme
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    rate of convergence
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    Identifiers

    Mathematics Subject Classification ID
    35R09
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    35K67
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    74S20
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    zbMATH DE Number
    7114646
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    OpenAlex ID
    W2972330955
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