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
bistabilitycommon noisedrift randomisationMcKean-Vlasov equationsMilstein schemenondifferentiable driftstochastic interacting particle systems
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)
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Cites work
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Cited in
(6)- Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems
- Randomised Euler-Maruyama method for SDEs with Hölder continuous drift coefficient
- First- and half-order schemes for regime switching stochastic differential equation with non-differentiable drift coefficient
- Malliavin differentiability of McKean-Vlasov SDEs with common noise
- Improved weak convergence for the long time simulation of mean-field Langevin equations
- Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean-Vlasov SDEs and associated particle systems
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