Inverting the Markovian projection, with an application to local stochastic volatility models (Q2212591)
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scientific article
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| English | Inverting the Markovian projection, with an application to local stochastic volatility models |
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Inverting the Markovian projection, with an application to local stochastic volatility models (English)
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24 November 2020
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Fokker-Planck equations
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local stochastic volatility
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Markovian projection
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McKean-Vlasov equations
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mimicking
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nonlinear elliptic equations
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pathwise uniqueness
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regularity of invariant measures
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strong solutions
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0.738149106502533
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0.7291574478149414
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0.7229623794555664
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0.7117637395858765
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0.700260579586029
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