A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps
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Publication:5086642
DOI10.1080/17442508.2020.1771337zbMath1490.65005arXiv1812.05026OpenAlexW3034028567MaRDI QIDQ5086642
Ankush Agarwal, Stefano Pagliarani
Publication date: 6 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.05026
Fourier transformLévy processesPicard iterationnonlinear stochastic differential equationsMcKean-Vlasov model
Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods in Fourier analysis (65T99) Numerical methods for functional equations (65Q20)
Related Items (2)
A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations ⋮ Multilevel Picard approximations for McKean-Vlasov stochastic differential equations
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