The existence of a calibrated local stochastic volatility model
Research gap analysis derived from 3 mathematics papers in our local library.
The gap
The paper identifies a gap in the literature on the existence of a calibrated local stochastic volatility model. The paper identifies a gap in the literature on the approximation of McKean-Vlasov equations with nonregular coefficients.
Evidence profile
Sourced from the stated research gap and future-work section of the source papers, classified as general, spanning 3 journals.
Research trend
Established — well-defined area with open sub-problems.
Supporting evidence — 3 representative gaps
- Nonregular McKean–Vlasov Equations and Calibration Problem in Local Stochastic Volatility Models (2026) · Mathematics of Operations Research · doi
The paper identifies a gap in the literature on the existence of a calibrated local stochastic volatility model. The paper identifies a gap in the literature on the approximation of McKean-Vlasov equations with nonregular coefficients.
generalstated research gapevidence 5/5Keywords: paper identifies gap literature existence calibrated local stochastic - Quantitative contraction rates for McKean-Vlasov stochastic differential equations with multiplicative noise (2026) · Stochastic Models · doi
Further study on the contraction rates for McKean-Vlasov stochastic differential equations with multiplicative noise, - Investigation of the applications of the contraction results in other fields, - Research on the relationship between the contraction rates and the properties of the McKean-Vlasov process
generalfuture-work sectionevidence 5/5Keywords: further study contraction rates mckean-vlasov stochastic differential equations - Multilevel Picard approximations for McKean–Vlasov stochastic differential equations with nonconstant diffusion (2026) · IMA Journal of Numerical Analysis · doi
The curse of dimensionality is a major challenge in solving McKean-Vlasov stochastic differential equations. Prior work has not provided a satisfactory solution to this challenge. The paper identifies the need for a new approximation technique that can overcome the curse of dimensionality.
generalstated research gapevidence 5/5Keywords: curse dimensionality major challenge solving mckean-vlasov stochastic differential
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