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math.PR2024
Milstein-type schemes for McKean-Vlasov SDEs driven by Brownian motion and Poisson random measure (with super-linear coefficients)
Sani Biswas, Chaman Kumar, Christoph Reisinger +1
In this work, we present a general Milstein-type scheme for McKean-Vlasov stochastic differential equations (SDEs) driven by Brownian motion and Poisson random measure and the asso…
math.PR2022★ 1 cited
An explicit Milstein-type scheme for interacting particle systems and McKean--Vlasov SDEs with common noise and non-differentiable drift coefficients
Sani Biswas, Chaman Kumar, Neelima +2
We propose an explicit drift-randomised Milstein scheme for both McKean--Vlasov stochastic differential equations and associated high-dimensional interacting particle systems with…
math.PR2020★ 11 cited
Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise
Neelima, Sani Biswas, Chaman Kumar +2
We prove the well-posedness of solutions to McKean-Vlasov stochastic differential equations driven by Lévy noise under mild assumptions where, in particular, the Lévy measure is no…