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First-order convergence of Milstein schemes for McKean–Vlasov equations and interacting particle systems
In this paper, we derive fully implementable first-order time-stepping schemes for McKean–Vlasov stochastic differential equations, allowing for a drift term with super-linear growth in the state component. We propose Milstein schemes for a time-discretized interacting particle system associated wit...
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| Publicado no: | Proc Math Phys Eng Sci |
|---|---|
| Main Authors: | , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
The Royal Society Publishing
2021
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7897642/ https://ncbi.nlm.nih.gov/pubmed/33642922 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1098/rspa.2020.0258 |
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