Convergence of the Euler--Maruyama particle scheme for a regularised McKean--Vlasov equation arising from the calibration of local-stochastic volatility models

no code implementations • 1 Feb 2023 • Christoph Reisinger, Maria Olympia Tsianni

Using this result, we prove the strong convergence of the Euler--Maruyama scheme to the particle system with rate 1/2 in the step-size and obtain an explicit dependence of the error on the regularisation parameters.

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