no code implementations • 2 Mar 2022 • Christian Bayer, Denis Belomestny, Oleg Butkovsky, John Schoenmakers
Motivated by the challenges related to the calibration of financial models, we consider the problem of numerically solving a singular McKean-Vlasov equation $$ d X_t= \sigma(t, X_t) X_t \frac{\sqrt v_t}{\sqrt {E[v_t|X_t]}}dW_t, $$ where $W$ is a Brownian motion and $v$ is an adapted diffusion process.
