Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary

DOI10.1017/S0956792519000342zbMath1479.35534arXiv1808.05311OpenAlexW3125083748WikidataQ126590098 ScholiaQ126590098MaRDI QIDQ5015424

Vadim Kaushansky, Alexander Lipton-Lifschitz, Christoph Reisinger

Publication date: 8 December 2021

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.05311

zbMATH Keywords

Volterra equationssmall interaction parametersupercooled Stefan problemstructural credit contagion model

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Asymptotic expansions of solutions to PDEs (35C20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Semilinear parabolic equations (35K58) Vlasov equations (35Q83)

Related Items (3)

Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit ⋮ Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem ⋮ Propagation of minimality in the supercooled Stefan problem

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