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math.PR2022★ 2 cited
Strong rate of convergence of the Euler scheme for SDEs with irregular drift driven by Levy noise
Oleg Butkovsky, Konstantinos Dareiotis, Máté Gerencsér
We study the strong rate of convergence of the Euler--Maruyama scheme for a multidimensional stochastic differential equation (SDE) with irregular…
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…