Euler simulation of interacting particle systems and McKean-Vlasov SDEs with fully super-linear growth drifts in space and interaction

DOI10.1093/IMANUM/DRAD022MaRDI QIDQ6629600

Gonçalo dos Reis, Xingyuan Chen

Publication date: 30 October 2024

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

zbMATH Keywords

stochastic interacting particle systemsMcKean-Vlasov equationssplit-step Euler methodssuper-linear growth in measuresuper-linear growth in space

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Related Items (1)

An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients

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