Strong convergence of Euler–Maruyama schemes for McKean–Vlasov stochastic differential equations under local Lipschitz conditions of state variables

DOI10.1093/imanum/drab107OpenAlexW4205832274WikidataQ115275166 ScholiaQ115275166MaRDI QIDQ5887495

Fuke Wu, George Yin, Qingshuo Song, Yun Li, Xuerong Mao

Publication date: 12 April 2023

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imanum/drab107

zbMATH Keywords

local Lipschitz conditionone-sided local Lipschitz conditionEuler-Maruyama schemeMcKean-Vlasov SDEinterpolated Euler-like sequence

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Related Items (3)

The tamed Euler-Maruyama approximation of Mckean-Vlasov stochastic differential equations and asymptotic error analysis ⋮ Multiple-delay stochastic McKean-Vlasov equations with Hölder diffusion coefficients and their numerical schemes ⋮ One-dimensional McKean-Vlasov stochastic variational inequalities and coupled BSDEs with locally Hölder noise coefficients

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