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arXiv:1903.11754 [math.PR]AbstractReferencesReviewsResources

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

Xiaojie Ding, Huijie Qiao

Published 2019-03-28Version 1

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

Comments: 14 pages
Categories: math.PR
Subjects: 60H10
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