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First-order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems

Jianhai Bao1, Christoph Reisinger2, Panpan Ren3

  • 1Center for Applied Mathematics, Tianjin University, 300072 Tianjin, People's Republic of China.

Proceedings. Mathematical, Physical, and Engineering Sciences
|March 1, 2021
PubMed

Keywords:
McKean–Vlasov stochastic differential equationsinteracting particle systemsnumerical approximation of stochastic differential equations

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