An explicit Milstein-type scheme for interacting particle systems and McKean--Vlasov SDEs with common noise and non-differentiable drift coefficients
We propose an explicit drift-randomised Milstein scheme for both McKean–Vlasov stochastic differential equations and associated high-dimensional interacting particle systems with common noise. By using a drift randomisation step in space and measure, we establish the scheme’s strong convergence rate...
| Main Authors: | , , , , |
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| Format: | Journal article |
| Sprog: | English |
| Udgivet: |
Institute of Mathematical Statistics
2024
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