A difference method for the McKean-Vlasov equation

DOI10.1007/s00033-019-1196-xzbMath1423.35382OpenAlexW2972330955MaRDI QIDQ2327875

Nils Henrik Risebro, Giuseppe Maria Coclite

Publication date: 8 October 2019

Published in: ZAMP. Zeitschrift für angewandte Mathematik und Physik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00033-019-1196-x

zbMATH Keywords

rate of convergenceoption pricingdifference schemewell posedness

Mathematics Subject Classification ID

Finite difference methods applied to problems in solid mechanics (74S20) Singular parabolic equations (35K67) Integro-partial differential equations (35R09)

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