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Convergence rate of Euler-Maruyama scheme for McKean-Vlasov SDEs with density-dependent drift

Published 26 Dec 2024 in math.NA, cs.NA, and math.PR | (2412.19121v1)

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 $L1$ norm for the Euler-Maruyama scheme.

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Authors (1)

  1. Anh-Dung Le 

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