activity
20172026
most citedFirst order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems

42 citations · 97 across the 28 of their papers we have counts for

collaborators
Showing 2017 · math.PRShow all

1 paper · 2 filters

math.PR2017★ 1 cited

Matrix-valued SDEs arising from currency exchange markets

Panpan Ren, Jiang-Lun Wu

In this paper, motivated by modelling currency exchange markets with matrix-valued stochastic processes, matrix-valued stochastic differential equations (SDEs) are formulated. This…