On the infinite time horizon approximation for Lévy-driven McKean-Vlasov SDEs with non-globally Lipschitz continuous and super-linearly growth drift and diffusion coefficients

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-10-22 DOI:10.1016/j.jmaa.2024.128982

Ngoc Khue Tran , Trung-Thuy Kieu , Duc-Trong Luong , Hoang-Long Ngo

引用次数: 0

Abstract

This paper studies the numerical approximation for McKean-Vlasov stochastic differential equations driven by Lévy 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 Lévy-driven McKean-Vlasov stochastic differential equations with non-globally Lipschitz continuous and super-linearly growth drift and diffusion coefficients.

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关于具有非全局 Lipschitz 连续和超线性增长漂移与扩散系数的 Lévy 驱动型 McKean-Vlasov SDEs 的无限时间跨度近似问题

本文研究了由勒维过程驱动的麦金-弗拉索夫随机微分方程的数值近似。我们提出了一种驯服自适应的 Euler-Maruyama 方案，并考虑了它在有限和无限时间范围内的强收敛性，该方案适用于一些具有非全局 Lipschitz 连续和超线性增长漂移和扩散系数的 Lévy 驱动的 McKean-Vlasov 随机微分方程。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

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