A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean-Vlasov models

DOI10.1007/s00780-024-00541-5MaRDI QIDQ6619591

Christian Bayer, John Schoenmakers, Denis Belomestny, O. A. Butkovsky

Publication date: 16 October 2024

Published in: Finance and Stochastics (Search for Journal in Brave)

zbMATH Keywords

reproducing kernel Hilbert spacestochastic volatility modelssingular McKean-Vlasov equations

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22)

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