Approximations of Mckean-Vlasov SDEs with Irregular Coefficients
Probability
2019-06-06 v2
Abstract
The goal of this paper is to approximate several kinds of {\it Mckean-Vlasov SDEs} with {\it irregular coefficients} via weakly interacting particle systems. More precisely, propagation of chaos and convergence rate of Euler-Maruyama scheme associated with the consequent weakly interacting particle systems are investigated for Mckean-Vlasov SDEs, where (i) the diffusion terms are H\"older continuous by taking advantage of Yamada-Watanabe's approximation approach and (ii) the drifts are H\"older continuous by freezing distributions followed by invoking Zvonkin's transformation trick.
Keywords
Cite
@article{arxiv.1905.08522,
title = {Approximations of Mckean-Vlasov SDEs with Irregular Coefficients},
author = {Jianhai Bao and Xing Huang},
journal= {arXiv preprint arXiv:1905.08522},
year = {2019}
}
Comments
19 pages