Abstract
This paper studies the rate of convergence of an appropriate discretization scheme of the solution of the McKean--Vlasov equation introduced by Bossy and Talay. More specifically, we consider approximations of the distribution and of the density of the solution of the stochastic differential equation associated to the McKean--Vlasov equation. The scheme adopted here is a mixed one: Euler--weakly interacting particle system. If
Citation
Fabio Antonelli. Arturo Kohatsu-Higa. "Rate of convergence of a particle method to the solution of the McKean--Vlasov equation." Ann. Appl. Probab. 12 (2) 423 - 476, May 2002. https://doi.org/10.1214/aoap/1026915611
Information