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most citedA Fourier-based Picard-iteration approach for a class of McKean-Vlasov SDEs with Lévy jumps

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math.PR2018★ 2 cited

A Fourier-based Picard-iteration approach for a class of McKean-Vlasov SDEs with Lévy jumps

Ankush Agarwal, Stefano Pagliarani

We consider a class of Lévy-driven stochastic differential equations (SDEs) with McKean-Vlasov (MK-V) interaction in the drift coefficient. It is assumed that the coefficient is bo…