In this talk, motivated by the calibration problem in local stochastic volatility models, we will investigate some McKean-Vlasov equations beyond the usual requirement of continuity of the coefficients in the measure variable for the Wasserstein topology. We will provide first an existence result for this type of McKean–Vlasov equations and explain the main idea behind the proof. In a second time, we will show an approximation by particle system for this type of equations, a result almost never rigorously proven in the literature in this context.
1月12日
4:00pm - 5:00pm

地點
https://hkust.zoom.us/j/94313320040 (Passcode: 3485)
講者/表演者
Prof. Mao Fabrice Djete
Ecole Polytechnique
Ecole Polytechnique
主辦單位
Department of Mathematics
聯絡方法
付款詳情
對象
Alumni, Faculty and staff, PG students, UG students
語言
英語
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