The tamed Euler-Maruyama approximation of Mckean-Vlasov stochastic differential equations and asymptotic error analysis
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Publication:6107313
error processlocal Lipschitz conditionMcKean-Vlasov stochastic differential equationstrong convergencetamed Euler-Maruyamaweak convergence
Computational methods for problems pertaining to probability theory (60-08) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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
(9)- Euler-Maruyama approximations for stochastic McKean-Vlasov equations with non-Lipschitz coefficients
- Tamed Euler-Maruyama approximation of McKean-Vlasov stochastic differential equations with super-linear drift and Hölder diffusion coefficients
- An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model
- Strong convergence of Euler–Maruyama schemes for McKean–Vlasov stochastic differential equations under local Lipschitz conditions of state variables
- Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme
- Convergence rate of the truncated Euler-Maruyama method for highly nonlinear neutral stochastic differential equations with time-dependent delay
- On modified Euler methods for McKean-Vlasov stochastic differential equations with super-linear coefficients
- On the infinite time horizon approximation for Lévy-driven McKean-Vlasov SDEs with non-globally Lipschitz continuous and super-linearly growth drift and diffusion coefficients
- Solving McKean-Vlasov stochastic differential equations by a deep learning particle method
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