Euler–Maruyama Approximations for Stochastic McKean–Vlasov Equations with Non-Lipschitz Coefficients

By Xiaojie Ding, H. Qiao. Journal of theoretical probability, 2019

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In this paper, we study a type of stochastic McKean–Vlasov equations with non-Lipschitz coefficients. Firstly, by an Euler–Maruyama approximation the existence of its weak solutions is proved. Then we observe the pathwise uniqueness of its weak solutions. Finally, it is shown that the Euler–Maruyama approximation has an optimal strong convergence rate.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/8fab33ce978f6c6876dab6ff4acac09b3b7b9d13