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arXiv · 2406.13370

Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation

Jean-François Chassagneux·Gilles Pagès
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Abstract

We design a fully implementable scheme to compute the invariant distribution of ergodic McKean-Vlasov SDE satisfying a uniform confluence property. Under natural conditions, we prove various convergence results notably we obtain rates for the Wasserstein distance in quadratic mean and almost sure sense.

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Jean-François Chassagneux, Gilles Pagès. 2024-06-19. Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation. https://arxiv.org/abs/2406.13370

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