Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary

DOI10.1017/S0956792519000342zbMath1479.35534arXiv1808.05311WikidataQ126590098 ScholiaQ126590098MaRDI QIDQ5015424

Christoph Reisinger, Alexander Lipton-Lifschitz, Vadim Kaushansky

Publication date: 8 December 2021

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.05311

zbMATH Keywords

Volterra equations; small interaction parameter; supercooled Stefan problem; structural credit contagion model

Mathematics Subject Classification ID

65R20: Numerical methods for integral equations

35C20: Asymptotic expansions of solutions to PDEs

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

35K58: Semilinear parabolic equations

35Q83: Vlasov equations