An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients
DOI10.1214/23-AAP2024zbMATH Open1545.65027MaRDI QIDQ6590459FDOQ6590459
Authors: Sani Biswas, Chaman Kumar, D. Neelima, Gonçalo dos Reis, C. Reisinger 
Publication date: 21 August 2024
Published in: The Annals of Applied Probability (Search for Journal in Brave)
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Milstein schemebistabilitycommon noisestochastic interacting particle systemsMcKean-Vlasov equationsdrift randomisationnondifferentiable drift
Monte Carlo methods (65C05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) 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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