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

Published 17 Feb 2022 in math.PR | (2202.08422v1)

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.

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Authors (3)

  1. Zhen Wang 
  2. Jie Ren 
  3. Yu Miao 

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