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

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.

arXiv comment54 pages, 7 figures. New numerical results, move Section 5 to companion paper arXiv:2502.07704