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arXiv · 2202.08422

Euler's scheme of Mckean-Vlasov SDEs with non-Lipschitz coefficients

Zhen Wang·Jie Ren·Yu Miao
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Abstract

In this paper, we show the strong well-posedness of Mckean-Vlasov SDEs with non-Lipschitz coefficients. Moreover, propagation of chaos and the convergence rate for Euler's scheme of Mckean-Vlasov SDEs are also obtained.

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Zhen Wang, Jie Ren, Yu Miao. 2022-02-17. Euler's scheme of Mckean-Vlasov SDEs with non-Lipschitz coefficients. https://arxiv.org/abs/2202.08422

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