On the infinite time horizon approximation for L\'evy-driven McKean-Vlasov SDEs with non-globally Lipschitz continuous and super-linearly growth drift and diffusion coefficients
Autor: | Tran, Ngoc Khue, Kieu, Trung-Thuy, Luong, Duc-Trong, Ngo, Hoang-Long |
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Rok vydání: | 2024 |
Předmět: | |
Druh dokumentu: | Working Paper |
Popis: | This paper studies the numerical approximation for McKean-Vlasov stochastic differential equations driven by L\'evy processes. We propose a tamed-adaptive Euler-Maruyama scheme and consider its strong convergence in both finite and infinite time horizons when applying for some classes of L\'evy-driven McKean-Vlasov stochastic differential equations with non-globally Lipschitz continuous and super-linearly growth drift and diffusion coefficients. Comment: 40 pages, 1 figure |
Databáze: | arXiv |
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