Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation

Published 19 Jun 2024 in math.PR, cs.NA, and math.NA | (2406.13370v2)

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.

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