An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients
DOI10.1214/23-aap2024zbMATH Open1545.65027MaRDI QIDQ6590459
Chaman Kumar, Christoph Reisinger, Sani Biswas, Gonçalo dos Reis, D. Neelima
Publication date: 21 August 2024
Published in: The Annals of Applied Probability (Search for Journal in Brave)
bistabilityMilstein schemecommon noisestochastic interacting particle systemsMcKean-Vlasov equationsdrift randomisationnondifferentiable drift
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)
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