Well-posedness and tamed schemes for McKean-Vlasov equations with common noise
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Abstract: In this paper, we first establish well-posedness of McKean-Vlasov stochastic differential equations (McKean-Vlasov SDEs) with common noise, possibly with coefficients having super-linear growth in the state variable. Second, we present stable time-stepping schemes for this class of McKean-Vlasov SDEs. Specifically, we propose an explicit tamed Euler and tamed Milstein scheme for an interacting particle system associated with the McKean-Vlasov equation. We prove stability and strong convergence of order and , respectively. To obtain our main results, we employ techniques from calculus on the Wasserstein space. The proof for the strong convergence of the tamed Milstein scheme only requires the coefficients to be once continuously differentiable in the state and measure component. To demonstrate our theoretical findings, we present several numerical examples, including mean-field versions of the stochastic volatility model and the stochastic double well dynamics with multiplicative noise.
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Cited in
(13)- Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
- Convergence rate in \(\mathcal{L}^p\) sense of tamed EM scheme for highly nonlinear neutral multiple-delay stochastic McKean-Vlasov equations
- Stability estimates for singular SDEs and applications
- An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients
- A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations
- Weak existence and uniqueness for McKean-Vlasov SDEs with common noise
- Rectified deep neural networks overcome the curse of dimensionality when approximating solutions of McKean-Vlasov stochastic differential equations
- Convergence analysis of an explicit method and its random batch approximation for the McKean-Vlasov equations with non-globally Lipschitz conditions
- On a class of McKean-Vlasov stochastic functional differential equations with applications
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- Wellposedness of conditional McKean-Vlasov equations with singular drifts and regime-switching
- Multiple-delay stochastic McKean-Vlasov equations with Hölder diffusion coefficients and their numerical schemes
- Strong convergence of Euler-Maruyama schemes for doubly perturbed McKean-Vlasov stochastic differential equations
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