Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation
Probability
2025-02-13 v2 Numerical Analysis
Numerical Analysis
Abstract
We design a fully implementable scheme to compute the invariant distribution of ergodic McKean-Vlasov SDE satisfying a uniform confluence property. Under natural conditions, we prove various convergence results notably we obtain rates for the Wasserstein distance in quadratic mean and almost sure sense.
Keywords
Cite
@article{arxiv.2406.13370,
title = {Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation},
author = {Jean-François Chassagneux and Gilles Pagès},
journal= {arXiv preprint arXiv:2406.13370},
year = {2025}
}
Comments
54 pages, 7 figures. New numerical results, move Section 5 to companion paper arXiv:2502.07704