Convergence rate of Euler-Maruyama scheme for McKean-Vlasov SDEs with density-dependent drift

Anh-Dung Le and Stéphane Villeneuve

No 26-1768, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: 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 existence part is due to Hölder stability estimates of the associated Euler-Maruyama scheme. The uniqueness part is due to that of the associated Fokker-Planck equation. We also obtain convergence rate in weighted L1 norm for the Euler-Maruyama scheme.

Date: 2026-09-07
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