Euler-Maruyama approximations for stochastic McKean-Vlasov equations with non-Lipschitz coefficients

DOI10.1007/s10959-020-01041-wzbMath1476.60097arXiv1903.11754OpenAlexW3085884646MaRDI QIDQ2042043

Xiaojie Ding, Huijie Qiao

Publication date: 26 July 2021

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.11754

zbMATH Keywords

convergence ratesnon-Lipschitz conditionsEuler-Maruyama approximationsstochastic McKean-Vlasov equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (13)

Stabilization of Stochastic McKean--Vlasov Equations with Feedback Control Based on Discrete-Time State Observation ⋮ Parameter estimation of path-dependent McKean-Vlasov stochastic differential equations ⋮ Backward multivalued McKean-Vlasov SDEs and associated variational inequalities ⋮ The tamed Euler-Maruyama approximation of Mckean-Vlasov stochastic differential equations and asymptotic error analysis ⋮ Asymptotic behaviors of small perturbation for multivalued Mckean-Vlasov stochastic differential equations ⋮ On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions ⋮ Strong convergence of Euler-Maruyama schemes for doubly perturbed McKean-Vlasov stochastic differential equations ⋮ Limit theorems of invariant measures for multivalued McKean-Vlasov stochastic differential equations ⋮ On a class of McKean-Vlasov stochastic functional differential equations with applications ⋮ Strong averaging principle for two-time-scale stochastic McKean-Vlasov equations ⋮ Long time behavior of stochastic McKean-Vlasov equations ⋮ Stability for Stochastic McKean--Vlasov Equations with Non-Lipschitz Coefficients ⋮ Well-posedness and tamed schemes for McKean-Vlasov equations with common noise

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• On Yosida Approximations of McKean–Vlasov Type Stochastic Evolution Equations
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