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20132025
most citedAmerican option of stochastic volatility model with negative Fichera function on degenerate boundary

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math.NA2025

On modified Euler methods for McKean-Vlasov stochastic differential equations with super-linear coefficients

Jiamin Jian, Qingshuo Song, Xiaojie Wang +2

We introduce a new class of numerical methods for solving McKean-Vlasov stochastic differential equations, which are relevant in the context of distribution-dependent or mean-field…