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20182026
most citedMonotone convex order for the McKean-Vlasov processes

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math.NA2022★ 1 cited

Particle method and quantization-based schemes for the simulation of the McKean-Vlasov equation

Yating Liu

In this paper, we study three numerical schemes for the McKean-Vlasov equation \[\begin{cases} \;dX_t=b(t, X_t, μ_t) \, dt+σ(t, X_t, μ_t) \, dB_t,\: \\ \;\forall\, t\in[0,T],\;μ_t…