Well-posedness and tamed schemes for McKean-Vlasov equations with common noise
In this paper, we first establish well-posedness of McKean–Vlasov stochastic differential equations (McKean–Vlasov SDEs) with common noise, possibly with coefficients of super-linear growth in the state variable. Second, we present stable time-stepping schemes for this class of McKean–Vlasov SDEs. S...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics
2022
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