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Le, Anh Dung
and Villeneuve, Stéphane
(2026)
Convergence rate of Euler-Maruyama scheme for McKean-Vlasov SDEs with density-dependent drift.
TSE Working Paper, n. 26-1768, Toulouse
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Official URL : http://tse-fr.eu/pub/132094
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 Hölder 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.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | May 2026 |
| Place of Publication: | Toulouse |
| Uncontrolled Keywords: | McKean-Vlasov SDEs, density-dependent SDEs, Euler-Maruyama scheme |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Institution: | Université Toulouse Capitole |
| Site: | UT1 |
| Date Deposited: | 09 Sep 2026 14:33 |
| Last Modified: | 09 Sep 2026 14:36 |
| OAI Identifier: | oai:tse-fr.eu:132094 |
| URI: | https://publications.ut-capitole.fr/id/eprint/53977 |
Available Versions of this Item
- Convergence rate of Euler-Maruyama scheme for McKean-Vlasov SDEs with density-dependent drift. (deposited 09 Sep 2026 14:33) [Currently Displayed]
