Simulation of a simple particle system interacting through hitting times
We develop an Euler-type particle method for the simulation of a McKean–Vlasov equation arising from a mean-field model with positive feedback from hitting a boundary. Under assumptions on the parameters which ensure differentiable solutions, we establish convergence of order 1/2 in the time step. M...
Main Authors: | , |
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Format: | Journal article |
Language: | English |
Published: |
American Institute of Mathematical Sciences
2019
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