Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
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Publication:2100548
discontinuous driftinteracting particle systemsMcKean-Vlasov equationsnumerical schemesstrong solutions
Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Other physical applications of random processes (60K40) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: In this paper, we first establish well-posedness results for one-dimensional McKean-Vlasov stochastic differential equations (SDEs) and related particle systems with a measure-dependent drift coefficient that is discontinuous in the spatial component, and a diffusion coefficient which is a Lipschitz function of the state only. We only require a fairly mild condition on the diffusion coefficient, namely to be non-zero in a point of discontinuity of the drift, while we need to impose certain structural assumptions on the measure-dependence of the drift. Second, we study Euler-Maruyama type schemes for the particle system to approximate the solution of the one-dimensional McKean-Vlasov SDE. Here, we will prove strong convergence results in terms of the number of time-steps and number of particles. Due to the discontinuity of the drift, the convergence analysis is non-standard and the usual strong convergence order known for the Lipschitz case cannot be recovered for all schemes.
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Cited in
(15)- McKean-Vlasov SDEs with drifts discontinuous under Wasserstein distance
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