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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.
Stochastics and Dynamics (sd ).
(In Press)
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Official URL : http://tse-fr.eu/pub/132097
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: | Article |
|---|---|
| Language: | English |
| Date: | 2026 |
| Refereed: | Yes |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse), TSM Research (Toulouse) |
| Site: | UT1 |
| Date Deposited: | 09 Sep 2026 14:36 |
| Last Modified: | 09 Sep 2026 14:36 |
| OAI Identifier: | oai:tse-fr.eu:132097 |
| URI: | https://publications.ut-capitole.fr/id/eprint/53978 |
Available Versions of this Item
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Convergence rate of Euler-Maruyama scheme for McKean-Vlasov SDEs with density-dependent drift. (deposited 09 Sep 2026 14:33)
- Convergence rate of Euler-Maruyama scheme for McKean-Vlasov SDEs with density-dependent drift. (deposited 09 Sep 2026 14:36) [Currently Displayed]
