On the infinite time horizon approximation for Lévy-driven McKean-Vlasov SDEs with common noise
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
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| _version_ | 1866908658762252288 |
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| author | Xu, Ke Yang, Fen-Fen Yuan, Chenggui |
| author_facet | Xu, Ke Yang, Fen-Fen Yuan, Chenggui |
| contents | In this work, we establish the existence and uniqueness of solutions to McKean-Vlasov stochastic differential equations (SDEs) driven by Lévy processes with common noise on an infinite time horizon, by means of a contraction mapping principle in the space of probability measures. In addition, we analyse the propagation of chaos for Lévy-driven McKean-Vlasov SDEs in the presence of common noise. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_20807 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | On the infinite time horizon approximation for Lévy-driven McKean-Vlasov SDEs with common noise Xu, Ke Yang, Fen-Fen Yuan, Chenggui Probability In this work, we establish the existence and uniqueness of solutions to McKean-Vlasov stochastic differential equations (SDEs) driven by Lévy processes with common noise on an infinite time horizon, by means of a contraction mapping principle in the space of probability measures. In addition, we analyse the propagation of chaos for Lévy-driven McKean-Vlasov SDEs in the presence of common noise. |
| title | On the infinite time horizon approximation for Lévy-driven McKean-Vlasov SDEs with common noise |
| topic | Probability |
| url | https://arxiv.org/abs/2508.20807 |