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most citedSubgeometric rates of convergence of Markov processes in the Wasserstein metric

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q-fin.CP2022★ 2 cited

A Reproducing Kernel Hilbert Space approach to singular local stochastic volatility McKean-Vlasov models

Christian Bayer, Denis Belomestny, Oleg Butkovsky +1

Motivated by the challenges related to the calibration of financial models, we consider the problem of numerically solving a singular McKean-Vlasov equation $$ d X_t= σ(t,X_t) X_t…