Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs

DOI10.1016/J.SPA.2020.10.002MaRDI QIDQ1994897zbMATH OpenOpenAlexFDO

Authors Noufel Frikha, Li-Bo Li

Publication date 18 February 2021

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.07505

zbMATH Keywords

propagation of chaosstrong uniquenessMcKean-Vlasov SDEsLévy driven SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-partial differential equations (35R09) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales and classical analysis (60G46)

Abstract: In this article, we are interested in the strong well-posedness together with the numerical approximation of some one-dimensional stochastic differential equations with a non-linear drift, in the sense of McKean-Vlasov, driven by a spectrally-positive L{'e}vy process and a Brownian motion. We provide criteria for the existence of strong solutions under non-Lipschitz conditions of Yamada-Watanabe type without non-degeneracy assumption. The strong convergence rate of the propagation of chaos for the associated particle system and of the corresponding Euler-Maruyama scheme are also investigated. In particular, the strong convergence rate of the Euler-Maruyama scheme exhibits an interplay between the regularity of the coefficients and the order of singularity of the L{'e}vy measure around zero.

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Cited in

(6)

• On a class of Lévy-driven McKean-Vlasov SDEs with Hölder coefficients
• Well-posedness of some non-linear stable driven SDEs
• Nonlinear SDEs driven by L\'evy processes and related PDEs
• One-dimensional McKean-Vlasov stochastic Volterra equations with Hölder diffusion coefficients
• ESSAYS ON STRONG AND WEAK APPROXIMATIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS
• Well-posedness of a system of SDEs driven by jump random measures

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