Well-posedness and tamed schemes for McKean-Vlasov equations with common noise

DOI10.1214/21-AAP1760zbMATH Open1498.60288arXiv2006.00463OpenAlexW3205555537MaRDI QIDQ2094568FDOQ2094568

Authors: Yanyan Li 

Publication date: 31 October 2022

Published in: The Annals of Applied Probability (Search for Journal in Brave)

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 $1/2$ and $1$, 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 $3/2$ volatility model and the stochastic double well dynamics with multiplicative noise.

Full work available at URL: https://arxiv.org/abs/2006.00463

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zbMATH Keywords

common noiseparticle systemMcKean-Vlasov SDEssuper-linear coefficientsmean-field stochastic 3/2 modelmean-field stochastic double well dynamics with multiplicative noisetamed numerical schemes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) 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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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
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• A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations
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