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arXiv · 2510.16801

Strong error analysis and first-order convergence of Milstein-type schemes for McKean-Vlasov SDEs with superlinear coefficients

Jingtao Zhu·Yuying Zhao·Siqing Gan
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Abstract

In the study of McKean-Vlasov stochastic differential equations (MV-SDEs), numerical approximation plays a crucial role in understanding the behavior of interacting particle systems (IPS). Classical Milstein schemes provide strong convergence of order one under globally Lipschitz coefficients. Nevertheless, many MV-SDEs arising from applications possess super-linearly growing drift and diffusion terms, where classical methods may diverge and particle corruption can occur. In the present work, we aim to fill this gap by developing a unified class of Milstein-type discretizations handling both super-linear drift and diffusion coefficients. The proposed framework includes the tamed-, tanh-, and sine-Milstein methods as special cases and establishes order-one strong convergence for the associated interacting particle system under mild regularity assumptions, requiring only once differentiable coefficients. In particular, our results complement Chen et al. (Electron. J. Probab., 2025), where a taming-based Euler scheme was only tested numerically without theoretical guarantees, by providing a rigorous convergence theory within a broader Milstein-type framework. The analysis relies on discrete-time arguments and binomial-type expansions, avoiding the continuous-time Itô approach that is standard in the literature. Numerical experiments are presented to illustrate the convergence behavior and support the theoretical findings.

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Jingtao Zhu, Yuying Zhao, Siqing Gan. 2025-10-19. Strong error analysis and first-order convergence of Milstein-type schemes for McKean-Vlasov SDEs with superlinear coefficients. https://arxiv.org/abs/2510.16801

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