Séminaire SPACE Tours
On the infinite time horizon approximation for Lévy-driven McKean-Vlasov SDEs with non-globally Lipschitz continuous and super-linear growth drift and diffusion coefficientsHoang Long Ngo (Hanoi National University of Education)
Friday 12 September 2025 10:30 - Tours - E2 1180
Résumé :
In this talk, we propose a tamed-adaptive Euler-Maruyama scheme and show its strong convergence in both finite and infinite time horizons when applied to certain classes of Lévy-driven McKean-Vlasov stochastic differential equations with non-globally Lipschitz continuous and super-linearly growing drift and diffusion coefficients.
This is joint work with Tran Ngoc Khue (HUST), Luong Duc Trong (HNUE), and Kieu Trung Thuy (HNUE).
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