3 papers
math.PR2025
Nonlinear weak error expansion of McKean-Vlasov stochastic differential equations
Benjamin Jourdain, Anh-Dung Le
According to Talay and Tubaro \cite{talay_expansion_1990}, the weak error between the solution to a stochastic differential equation with smooth coefficients and its Euler-Maruyama…
math.NA2025
Convergence rate of Euler-Maruyama scheme for McKean-Vlasov SDEs with density-dependent drift
Anh-Dung Le
In this paper, we study weak well-posedness of a McKean-Vlasov stochastic differential equations (SDEs) whose drift is density-dependent and whose diffusion is constant. The existe…
math.PR2025
Well-posedness of McKean-Vlasov SDEs with density-dependent drift
Anh-Dung Le, Stéphane Villeneuve
In this paper, we study well-posedness of McKean-Vlasov stochastic differential equations (SDE) whose drift depends pointwisely on marginal density and satisfies a local integrabil…