Approximations of McKean–Vlasov Stochastic Differential Equations with Irregular Coefficients

Jianhai Bao and Xing Huang ()
Additional contact information
Jianhai Bao: Tianjin University
Xing Huang: Tianjin University

Journal of Theoretical Probability, 2022, vol. 35, issue 2, 1187-1215

Abstract: Abstract The goal of this paper is to approximate two kinds of McKean–Vlasov stochastic differential equations (SDEs) with irregular coefficients via weakly interacting particle systems. More precisely, propagation of chaos and convergence rate of Euler–Maruyama scheme associated with the consequent weakly interacting particle systems are investigated for McKean–Vlasov SDEs, where (1) the diffusion terms are Hölder continuous by taking advantage of Yamada–Watanabe’s approximation approach and (2) the drifts are Hölder continuous by freezing distributions followed by invoking Zvonkin’s transformation trick.

Keywords: McKean–Vlasov stochastic differential equation; Yamada–Watanabe approximation; Zvonkin’s transformation; Hölder continuity; 65C05; 65C30; 65C35 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s10959-021-01082-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jotpro:v:35:y:2022:i:2:d:10.1007_s10959-021-01082-9

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/10959

DOI: 10.1007/s10959-021-01082-9

Access Statistics for this article

Journal of Theoretical Probability is currently edited by Andrea Monica

More articles in Journal of Theoretical Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().