The tamed Euler-Maruyama approximation of Mckean-Vlasov stochastic differential equations and asymptotic error analysis
DOI10.3934/dcdss.2023029zbMath1515.60251OpenAlexW4321505101MaRDI QIDQ6107313
Publication date: 3 July 2023
Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdss.2023029
strong convergenceweak convergencelocal Lipschitz conditionMcKean-Vlasov stochastic differential equationerror processtamed Euler-Maruyama
Computational methods for problems pertaining to probability theory (60-08) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- On the rate of convergence in Wasserstein distance of the empirical measure
- A note on tamed Euler approximations
- A martingale approach to the law of large numbers for weakly interacting stochastic processes
- Limit distributions for the error in approximations of stochastic integrals
- Weak limit theorems for stochastic integrals and stochastic differential equations
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Analytical approximations of non-linear SDEs of McKean-Vlasov type
- Distribution dependent SDEs for Landau type equations
- The Euler scheme with irregular coefficients
- Rate of convergence of a particle method to the solution of the McKean-Vlasov equation
- Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients
- McKean-Vlasov SDEs with drifts discontinuous under Wasserstein distance
- Distribution dependent SDEs with singular coefficients
- Well-posedness of distribution dependent SDEs with singular drifts
- McKean-Vlasov SDEs under measure dependent Lyapunov conditions
- Euler-Maruyama approximations for stochastic McKean-Vlasov equations with non-Lipschitz coefficients
- Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients
- On explicit Milstein-type scheme for McKean-Vlasov stochastic differential equations with super-linear drift coefficient
- A discretized version of Krylov's estimate and its applications
- Strong well posedness of McKean-Vlasov stochastic differential equations with hölder drift
- Freidlin-Wentzell LDP in path space for McKean-Vlasov equations and the functional iterated logarithm law
- Stochastic ordinary and stochastic partial differential equations. Transition from microscopic to macroscopic equations.
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Simulation of McKean–Vlasov SDEs with super-linear growth
- Probabilistic Theory of Mean Field Games with Applications I
- A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
- Strong convergence of Euler–Maruyama schemes for McKean–Vlasov stochastic differential equations under local Lipschitz conditions of state variables
- Functional law of large numbers and central limit theorem for slow-fast McKean-Vlasov equations
- Explicit numerical approximations for McKean-Vlasov neutral stochastic differential delay equations
This page was built for publication: The tamed Euler-Maruyama approximation of Mckean-Vlasov stochastic differential equations and asymptotic error analysis
