Euler's scheme of Mckean-Vlasov SDEs with non-Lipschitz coefficients
Zhen Wang, Jie Ren, Yu Miao
TL;DR
This paper establishes the strong well-posedness of Mckean-Vlasov SDEs with non-Lipschitz coefficients and analyzes the convergence of Euler's scheme, including propagation of chaos.
Contribution
It provides the first rigorous proof of well-posedness and convergence rates for Euler's scheme in the context of non-Lipschitz Mckean-Vlasov SDEs.
Findings
Strong well-posedness proven for non-Lipschitz coefficients
Convergence rate of Euler's scheme established
Propagation of chaos demonstrated
Abstract
In this paper, we show the strong well-posedness of Mckean-Vlasov SDEs with non-Lipschitz coefficients. Moreover, propagation of chaos and the convergence rate for Euler's scheme of Mckean-Vlasov SDEs are also obtained.
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Taxonomy
TopicsStochastic processes and financial applications · Navier-Stokes equation solutions · Economic theories and models