2 papers
math.PR2018
The Skorokhod embedding problem for inhomogeneous diffusions
Stefan Ankirchner, Stefan Engelhardt, Alexander Fromm +1
We solve the Skorokhod embedding problem for a class of stochastic processes satisfying an inhomogeneous stochastic differential equation (SDE) of the form $d A_t =μ(t, A_t) d t +…
math.PR2018
Simulation of McKean Vlasov SDEs with super linear growth
G. dos Reis, S. Engelhardt, G. Smith
We present two fully probabilistic Euler schemes, one explicit and one implicit, for the simulation of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) with drifts of supe…