Long time strong convergence analysis of one-step methods for McKean-Vlasov SDEs with superlinear growth coefficients
Fuente:
arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866914032055746560 |
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| author | Liu, Taiyuan Hu, Yaozhong Gan, Siqing |
| author_facet | Liu, Taiyuan Hu, Yaozhong Gan, Siqing |
| contents | This paper presents a strong convergence rate analysis of general discretization approximations for McKean-Vlasov SDEs with super-linear growth coefficients over infinite time horizon. Under some specified non-globally Lipschitz conditions, we derive the propagation of chaos, and the mean-square convergence rate over infinite time horizon for general one-step time discretization schemes for the underlying Mckean-Vlasov SDEs. As an application of the general result it is obtained the mean-square convergence rate over infinite time horizon for two numerical schemes: the projected Euler scheme and the backward Euler scheme for Mckean-Vlasov SDEs in non-globally Lipschitz settings. Numerical experiments are provided to validate the theoretical findings. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_09274 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Long time strong convergence analysis of one-step methods for McKean-Vlasov SDEs with superlinear growth coefficients Liu, Taiyuan Hu, Yaozhong Gan, Siqing Numerical Analysis This paper presents a strong convergence rate analysis of general discretization approximations for McKean-Vlasov SDEs with super-linear growth coefficients over infinite time horizon. Under some specified non-globally Lipschitz conditions, we derive the propagation of chaos, and the mean-square convergence rate over infinite time horizon for general one-step time discretization schemes for the underlying Mckean-Vlasov SDEs. As an application of the general result it is obtained the mean-square convergence rate over infinite time horizon for two numerical schemes: the projected Euler scheme and the backward Euler scheme for Mckean-Vlasov SDEs in non-globally Lipschitz settings. Numerical experiments are provided to validate the theoretical findings. |
| title | Long time strong convergence analysis of one-step methods for McKean-Vlasov SDEs with superlinear growth coefficients |
| topic | Numerical Analysis |
| url | https://arxiv.org/abs/2509.09274 |