Journal article
First order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems
- Abstract:
-
In this paper, we derive fully implementable first order time-stepping schemes for McKean–Vlasov stochastic differential equations (McKean–Vlasov SDEs), allowing for a drift term with super-linear growth in the state component. We propose Milstein schemes for a time-discretised interacting particle system associated with the McKean–Vlasov equation and prove strong convergence of order 1 and moment stability, taming the drift if only a one-sided Lipschitz condition holds. To derive our main re...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Authors
Bibliographic Details
- Publisher:
- The Royal Society Publisher's website
- Journal:
- Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences Journal website
- Volume:
- 477
- Article number:
- 20200258
- Publication date:
- 2021-01-06
- Acceptance date:
- 2020-12-03
- DOI:
- EISSN:
-
1471-2946
- ISSN:
-
1364-5021
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
1147787
- Local pid:
- pubs:1147787
- Deposit date:
- 2020-12-03
Terms of use
- Copyright holder:
- Bao et al.
- Copyright date:
- 2021
- Rights statement:
- © 2021 The Author(s) Published by the Royal Society. All rights reserved.
- Notes:
- This is the accepted manuscript version of the article. The final version is available from The Royal Society at: https://doi.org/10.1098/rspa.2020.0258
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