A Fourier-based Picard-iteration approach for a class of McKean-Vlasov SDEs with Lévy jumps

DOI10.1080/17442508.2020.1771337MaRDI QIDQ5086642zbMATH OpenOpenAlexFDO

Authors Ankush Agarwal, Stefano Pagliarani

Publication date 6 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.05026

zbMATH Keywords

Fourier transformPicard iterationnonlinear stochastic differential equationsMcKean-Vlasov modelLévy processes

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods in Fourier analysis (65T99) Numerical methods for functional equations (65Q20)

Abstract: We consider a class of L'evy-driven stochastic differential equations (SDEs) with McKean-Vlasov (MK-V) interaction in the drift coefficient. It is assumed that the coefficient is bounded, affine in the state variable, and only measurable in the law of the solution. We study the equivalent functional fixed-point equation for the unknown time-dependent coefficients of the associated Markovian SDE. By proving a contraction property for the functional map in a suitable normed space, we infer existence and uniqueness results for the MK-V SDE, and derive a discretized Picard iteration scheme that approximates the law of the solution through its characteristic function. Numerical illustrations show the effectiveness of our method, which appears to be appropriate to handle the multi-dimensional setting.

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Cited in

(2)

• A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations
• Multilevel Picard approximations for McKean-Vlasov stochastic differential equations

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