Euler's scheme of Mckean-Vlasov SDEs with non-Lipschitz coefficients
arXiv:2202.08422
Abstract
In this paper, we show the strong well-posedness of Mckean-Vlasov SDEs with non-Lipschitz coefficients. Moreover, propagation of chaos and the convergence rate for Euler's scheme of Mckean-Vlasov SDEs are also obtained.