Strong convergence order for slow-fast McKean-Vlasov stochastic differential equations
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Publication:2041807
Abstract: In this paper, we consider the averaging principle for a class of McKean-Vlasov stochastic differential equations with slow and fast time-scales. Under some proper assumptions on the coefficients, we first prove that the slow component strongly converges to the solution of the corresponding averaged equation with convergence order using the approach of time discretization. Furthermore, under stronger regularity conditions on the coefficients, we use the technique of Poisson equation to improve the order to , which is the optimal order of strong convergence in general.
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