Tamed Euler-Maruyama approximation of McKean-Vlasov stochastic differential equations with super-linear drift and Hölder diffusion coefficients

DOI10.1016/j.apnum.2022.08.012OpenAlexW4293032586WikidataQ114207985 ScholiaQ114207985MaRDI QIDQ2085680

Fuke Wu, Huagui Liu, Banban Shi

Publication date: 18 October 2022

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2022.08.012

zbMATH Keywords

McKean-Vlasov SDEsHölder diffusion coefficientstamed EMYamada-Watanabe approximation

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Stochastic processes (60Gxx) Probabilistic methods, stochastic differential equations (65Cxx)

Related Items (3)

Multiple-delay stochastic McKean-Vlasov equations with Hölder diffusion coefficients and their numerical schemes ⋮ One-dimensional McKean-Vlasov stochastic variational inequalities and coupled BSDEs with locally Hölder noise coefficients ⋮ Unnamed Item

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