First order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems
In this paper, we derive fully implementable first order time-stepping schemes for McKean–Vlasov stochastic differential equations (McKean–Vlasov SDEs), allowing for a drift term with super-linear growth in the state component. We propose Milstein schemes for a time-discretised interacting particle...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
The Royal Society
2021
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