Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866929711207153664 |
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| author | Chassagneux, Jean-François Pagès, Gilles |
| author_facet | Chassagneux, Jean-François Pagès, Gilles |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2406_13370 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation Chassagneux, Jean-François Pagès, Gilles Probability Numerical Analysis 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. |
| title | Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation |
| topic | Probability Numerical Analysis |
| url | https://arxiv.org/abs/2406.13370 |