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math.PR2026
An Euler scheme for McKean SDEs with Besov drift: convergence rate and implementation
Luis Mario Chaparro Jaquez, Elena Issoglio, Jan Palczewski
We study a one-dimensional McKean-Vlasov stochastic differential equation (SDE) with a drift equal to a product of a distribution depending on the state of the process and a non-li…
math.PR2025
Martingale theory for Dynkin games with asymmetric information
Tiziano De Angelis, Jan Palczewski, Jacob Smith
This paper provides necessary and sufficient conditions for a pair of randomised stopping times to form a saddle point of a zero-sum Dynkin game with partial and/or asymmetric info…
math.PR2025
Convergence rate of numerical scheme for SDEs with a distributional drift in Besov space
Luis Mario Chaparro Jáquez, Elena Issoglio, Jan Palczewski
This paper is concerned with numerical solutions of one-dimensional SDEs with the drift being a generalised function, in particular belonging to the Hölder-Zygmund space …