Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean–Vlasov equations and interacting particle systems
In this paper, we first derive Milstein schemes for an interacting particle system associated with point delay McKean–Vlasov stochastic differential equations, possibly with a drift term exhibiting super-linear growth in the state component. We prove strong convergence of order one and moment stabil...
| Hlavní autoři: | , , , |
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| Médium: | Journal article |
| Jazyk: | English |
| Vydáno: |
Oxford University Press
2023
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