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
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| Main Authors: | , , , |
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| Format: | Preprint |
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2024
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| _version_ | 1866916084296187904 |
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| author | Tran, Ngoc Khue Kieu, Trung-Thuy Luong, Duc-Trong Ngo, Hoang-Long |
| author_facet | Tran, Ngoc Khue Kieu, Trung-Thuy Luong, Duc-Trong Ngo, Hoang-Long |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2401_03977 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | 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 Tran, Ngoc Khue Kieu, Trung-Thuy Luong, Duc-Trong Ngo, Hoang-Long Probability Numerical Analysis 60H35, 60H10 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. |
| title | 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 |
| topic | Probability Numerical Analysis 60H35, 60H10 |
| url | https://arxiv.org/abs/2401.03977 |