Euler simulation of interacting particle systems and McKean-Vlasov SDEs with fully super-linear growth drifts in space and interaction

DOI10.1093/IMANUM/DRAD022MaRDI QIDQ6629600zbMATH OpenFDO

Authors Xingyuan Chen, Gonçalo dos Reis

Publication date 30 October 2024

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1093/IMANUM/DRAD022

zbMATH Keywords

McKean-Vlasov equationssplit-step Euler methodsstochastic interacting particle systemssuper-linear growth in measuresuper-linear growth in space

Mathematics Subject Classification ID

Numerical analysis (65-XX)

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Cited in

(10)

• An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients
• Convergence rates of particle approximation of forward-backward splitting algorithm for granular medium equations
• Malliavin differentiability of McKean-Vlasov SDEs with locally Lipschitz coefficients
• Dimension-independent L^p convergence rate of propagation of chaos and numerical analysis for McKean-Vlasov stochastic differential equations
• Propagation of chaos in infinite horizon and numerical stability for stochastic McKean-Vlasov equations
• Improved weak convergence for the long time simulation of mean-field Langevin equations
• On modified Euler methods for McKean-Vlasov stochastic differential equations with super-linear coefficients
• Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean-Vlasov SDEs and associated particle systems
• A Fourier-based inference method for learning interaction kernels in particle systems
• Unbiased approximations for stationary distributions of McKean-Vlasov SDEs

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