3 papers
math.NA2025
Strong error analysis and first-order convergence of Milstein-type schemes for McKean-Vlasov SDEs with superlinear coefficients
Jingtao Zhu, Yuying Zhao, Siqing Gan
In the study of McKean-Vlasov stochastic differential equations (MV-SDEs), numerical approximation plays a crucial role in understanding the behavior of interacting particle system…
math.NA2025
Euler-type methods for Levy-driven McKean-Vlasov SDEs with super-linear coefficients: mean-square error analysis
Jingtao Zhu, Yuying Zhao, Siqing Gan
We develop and analyze a general class of Euler-type numerical schemes for Levy-driven McKean-Vlasov stochastic differential equations (SDEs), where the drift, diffusion and jump c…
math.NA2025
Long time strong convergence analysis of one-step methods for McKean-Vlasov SDEs with superlinear growth coefficients
Taiyuan Liu, Yaozhong Hu, Siqing Gan
This paper presents a strong convergence rate analysis of general discretization approximations for McKean-Vlasov SDEs with super-linear growth coefficients over infinite time hori…