An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients
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Publication:6590459
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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