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

zbMATH Keywords

stochastic interacting particle systemsMcKean-Vlasov equationssplit-step Euler methodssuper-linear growth in measuresuper-linear growth in space

Mathematics Subject Classification ID

Numerical analysis (65-XX)

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Cited in

(1)

• 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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