Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary - LIPTON, ALEXANDER; KAUSHANSKY, VADIM; REISINGER, CHRISTOPH (European journal of applied mathematics, 2021)
Keywords: Absorption; Algorithms; Applied mathematics; Approximation; Banking industry; Banks; Default; Exact solutions; Interaction parameters; Methods; Partial differential equations; Phase transitions; Vlasov equations; Volterra integral equations; 60G99; 65R20; Volterra equations; semi-analytic solution; 35C20; structural credit contagion model; 35K58; supercooled Stefan problem; McKean–Vlasov equations