Convergence rate of Euler-Maruyama scheme for McKean-Vlasov SDEs with density-dependent drift
Numerical Analysis
2025-11-20 v3 Numerical Analysis
Probability
Abstract
In this paper, we study weak well-posedness of a McKean-Vlasov stochastic differential equations (SDEs) whose drift is density-dependent and whose diffusion is constant. The existence part is due to H\"older stability estimates of the associated Euler-Maruyama scheme. The uniqueness part is due to that of the associated Fokker-Planck equation. We also obtain convergence rate in weighted norm for the Euler-Maruyama scheme.
Keywords
Cite
@article{arxiv.2412.19121,
title = {Convergence rate of Euler-Maruyama scheme for McKean-Vlasov SDEs with density-dependent drift},
author = {Anh-Dung Le},
journal= {arXiv preprint arXiv:2412.19121},
year = {2025}
}