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Euler's scheme of Mckean-Vlasov SDEs with non-Lipschitz coefficients

Probability 2022-02-18 v1
Authors: Zhen Wang , Jie Ren , Yu Miao
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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.

Keywords

mckean-vlasov sdes non-lipschitz coefficients strong well-posedness propagation of chaos euler scheme convergence rate

Cite

@article{arxiv.2202.08422,
  title  = {Euler's scheme of Mckean-Vlasov SDEs with non-Lipschitz coefficients},
  author = {Zhen Wang and Jie Ren and Yu Miao},
  journal= {arXiv preprint arXiv:2202.08422},
  year   = {2022}
}

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