A flexible split-step scheme for solving McKean-Vlasov Stochastic Differential Equations
Xingyuan Chen,
Goncalo dos Reis
Abstract:We present an implicit Split-Step explicit Euler type Method (dubbed SSM) for the simulation of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) with drifts of super-linear growth in space, Lipschitz in measure and non-constant Lipschitz diffusion coefficient. The scheme is designed to leverage the structure induced by the interacting particle approximation system, including parallel implementation and the solvability of the implicit equation.The scheme attains the classical 1/2 root mean square error… Show more
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