Weak convergence analysis in the particle limit of the McKean--Vlasov equations using stochastic flows of particle systems

Abdul-Lateef Haji-Ali, Håkon Hoel, Raúl Tempone

We present a proof showing that the weak error of a system of $n$ interacting stochastic particles approximating the solution of the McKean-Vlasov equation is $\mathcal{O}(n^{-1})$.…