Work

Small noise and small time asymptotics for McKean–Vlasov SDEs with local Lipschitz coefficients

Year: 2024

Type: article

Abstract: This work is mainly concerned with small noise and small time asymptotics for a class of McKean–Vlasov stochastic differential equations with local Lipschitz coefficients. We apply the modified weak convergence criteria to prove the Laplace principle (equivalently, the large deviation principle). The main results extend the existing ones to the case of fully local assumptions with respect to both the state and measure variables in the literature. As a consequence, the small time asymptotics for McKean–Vlasov SDEs are also derived.

Source: Communications in Nonlinear Science and Numerical Simulation

DOI: 10.1016/j.cnsns.2024.108535

Authors: Jinming Li, Wei Liu, Yi Sun, Luhan Yang

Institution: Jiangsu Normal University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,600

Funders: National Natural Science Foundation of China, National Key Research and Development Program of China