Approximations of Mckean-Vlasov SDEs with Irregular Coefficients

Jianhai Bao; Xing Huang

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arXiv · 1905.08522

Approximations of Mckean-Vlasov SDEs with Irregular Coefficients

Jianhai Bao·Xing Huang

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Abstract

The goal of this paper is to approximate several kinds of {\it Mckean-Vlasov SDEs} with {\it irregular coefficients} via weakly interacting particle systems. More precisely, propagation of chaos and convergence rate of Euler-Maruyama scheme associated with the consequent weakly interacting particle systems are investigated for Mckean-Vlasov SDEs, where (i) the diffusion terms are H\"older continuous by taking advantage of Yamada-Watanabe's approximation approach and (ii) the drifts are H\"older continuous by freezing distributions followed by invoking Zvonkin's transformation trick.

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Jianhai Bao, Xing Huang. 2019-05-21. Approximations of Mckean-Vlasov SDEs with Irregular Coefficients. https://arxiv.org/abs/1905.08522

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