Explicit numerical approximations for McKean-Vlasov neutral stochastic differential delay equations

DOI10.3934/dcdss.2023055zbMath1514.65009arXiv2105.04175OpenAlexW4287183397MaRDI QIDQ6107317

No author found.

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://arxiv.org/abs/2105.04175

zbMATH Keywords

strong convergenceparticle systemsuper-linear growthtamed Euler-MaruyamaMcKean-Vlasov neutral stochastic differential delay equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Neutral functional-differential equations (34K40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

The tamed Euler-Maruyama approximation of Mckean-Vlasov stochastic differential equations and asymptotic error analysis ⋮ Convergence rate in \(\mathcal{L}^p\) sense of tamed EM scheme for highly nonlinear neutral multiple-delay stochastic McKean-Vlasov equations

Cites Work

• Unnamed Item
• Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• Smoothing properties of McKean-Vlasov SDEs
• On a strong form of propagation of chaos for McKean-Vlasov equations
• Distribution dependent SDEs for Landau type equations
• Rate of convergence of a particle method to the solution of the McKean-Vlasov equation
• Comparison theorem for distribution-dependent neutral SFDEs
• Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients
• Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations
• Successive approximation of neutral functional stochastic differential equations with jumps
• Strong convergence of a tamed theta scheme for NSDDEs with one-sided Lipschitz drift
• Freidlin-Wentzell LDP in path space for McKean-Vlasov equations and the functional iterated logarithm law
• Convergence rate for the approximation of the limit law of weakly interacting particles: Application to the Burgers equation
• Neutral Stochastic Differential Delay Equations with Locally Monotone Coefficients
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Quantitative Harris-type theorems for diffusions and McKean–Vlasov processes
• 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
• A stochastic particle method for the McKean-Vlasov and the Burgers equation
• Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability
• Optimal Transport