Euler-Maruyama Approximations for Stochastic McKean-Vlasov Equations with Non-Lipschitz Coefficients

Xiaojie Ding; Huijie Qiao

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arXiv · 1903.11754

Euler-Maruyama Approximations for Stochastic McKean-Vlasov Equations with Non-Lipschitz Coefficients

Xiaojie Ding·Huijie Qiao

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Abstract

In this paper we study a type of stochastic McKean-Vlasov equations with non-Lipschitz coefficients. Firstly, by an Euler-Maruyama approximation existence of its weak solutions is proved. And then we observe pathwise uniqueness of its weak solutions. Finally, it is shown that the Euler-Maruyama approximation has an optimal strong convergence rate.

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BibTeX RIS

Xiaojie Ding, Huijie Qiao. 2019-03-28. Euler-Maruyama Approximations for Stochastic McKean-Vlasov Equations with Non-Lipschitz Coefficients. https://arxiv.org/abs/1903.11754

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