Uniform-in-time error estimates for McKean-Vlasov SDEs with common noise and stochastic algorithms

Yuhang Zhang; Minghui Song

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arXiv · 2606.14170

Uniform-in-time error estimates for McKean-Vlasov SDEs with common noise and stochastic algorithms

Yuhang Zhang·Minghui Song

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Abstract

In this work, by construct an asymptotic coupling by reflection, we first explore the uniform-in-time estimate on probability distance for two measure-valued processes induced by a McKean-Vlasov SDE with common noise and an interacting particle system, where the drift terms are dissipative merely in the long distance. As direct applications of this estimate, we establish the uniform-in-time error estimates for the numerical solutions derived via backward/tamed/adaptive Euler-Maruyama methods. Moreover, as another direct application, the uniform-in-time conditional propagation of chaos is quantified.

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BibTeX RIS

Yuhang Zhang, Minghui Song. 2026-06-12. Uniform-in-time error estimates for McKean-Vlasov SDEs with common noise and stochastic algorithms. https://arxiv.org/abs/2606.14170

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