Volterra type McKean-Vlasov SDEs with singular kernels: Well-posedness, Propagation of Chaos and Euler schemes

Shanqi Liu; Hongjun Gao

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arXiv · 2311.06863

Volterra type McKean-Vlasov SDEs with singular kernels: Well-posedness, Propagation of Chaos and Euler schemes

Shanqi Liu·Hongjun Gao

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Abstract

In this paper, our work is devoted to studying Volterra type McKean-Vlasov stochastic differential equations with singular kernels. Firstly, the well-posedness of Volterra type McKean-Vlasov stochastic differential equations are established. And then propagation of chaos is proved with explicit estimate of the convergence rate. Finally, We also propose an explicit Euler scheme for an interacting particle system associated with the Volterra type McKean-Vlasov equation.

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Shanqi Liu, Hongjun Gao. 2023-11-12. Volterra type McKean-Vlasov SDEs with singular kernels: Well-posedness, Propagation of Chaos and Euler schemes. https://arxiv.org/abs/2311.06863

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