| dc.date.accessioned | 2020-04-27T18:19:29Z | |
| dc.date.available | 2020-09-13T22:46:21Z | |
| dc.date.created | 2019-11-21T12:12:47Z | |
| dc.date.issued | 2019 | |
| dc.identifier.citation | Coclite, Giuseppe Maria Risebro, Nils Henrik . A difference method for the McKean–Vlasov equation. Zeitschrift für Angewandte Mathematik und Physik. 2019, 70(5), 1-24 | |
| dc.identifier.uri | http://hdl.handle.net/10852/74874 | |
| dc.description.abstract | We analyze a model equation arising in option pricing. This model equation takes the form of a nonlinear, nonlocal diffusion equation. We prove the well posedness of the Cauchy problem for this equation. Furthermore, we introduce a semidiscrete difference scheme and show its rate of convergence. | |
| dc.language | EN | |
| dc.title | A difference method for the McKean–Vlasov equation | |
| dc.type | Journal article | |
| dc.creator.author | Coclite, Giuseppe Maria | |
| dc.creator.author | Risebro, Nils Henrik | |
| cristin.unitcode | 185,15,13,45 | |
| cristin.unitname | Differensiallikninger og beregningsorientert matematikk | |
| cristin.ispublished | true | |
| cristin.fulltext | postprint | |
| cristin.qualitycode | 1 | |
| dc.identifier.cristin | 1750436 | |
| dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Zeitschrift für Angewandte Mathematik und Physik&rft.volume=70&rft.spage=1&rft.date=2019 | |
| dc.identifier.jtitle | Zeitschrift für Angewandte Mathematik und Physik | |
| dc.identifier.volume | 70 | |
| dc.identifier.issue | 5 | |
| dc.identifier.doi | https://doi.org/10.1007/s00033-019-1196-x | |
| dc.identifier.urn | URN:NBN:no-77977 | |
| dc.type.document | Tidsskriftartikkel | |
| dc.type.peerreviewed | Peer reviewed | |
| dc.source.issn | 0044-2275 | |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/74874/2/mckeanvlasov-final-rev.pdf | |
| dc.type.version | AcceptedVersion | |
| cristin.articleid | 149 | |