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

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  • Frikha, Noufel
  • Li, Libo

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 Lévy 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 following the approach developed by Li and Mytnik (2011). 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 Lévy measure around zero.

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  • Frikha, Noufel & Li, Libo, 2021. "Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs," Stochastic Processes and their Applications, Elsevier, vol. 132(C), pages 76-107.
    • Handle: RePEc:eee:spapps:v:132:y:2021:i:c:p:76-107
    DOI: 10.1016/j.spa.2020.10.002
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    Cited by:

    1. Jie, Lijuan & Luo, Liangqing & Zhang, Hua, 2024. "One-dimensional McKean–Vlasov stochastic Volterra equations with Hölder diffusion coefficients," Statistics & Probability Letters, Elsevier, vol. 205(C).

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