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Multilevel Picard approximations for McKean-Vlasov stochastic differential equations with jumps
We introduce multilevel Picard (MLP) approximations of McKean-Vlasov stochastic differential equations (SDEs) with jumps of finite or infinite activity. Under Lipschitz and integrability assumptions on the coefficients, we show that the MLP algorithm does not suffer from the curse of dimensionality
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