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Approximations of McKean–Vlasov Stochastic Differential Equations with Irregular Coefficients

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  • Jianhai Bao

    (Tianjin University)

  • Xing Huang

    (Tianjin University)

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.

Suggested Citation

  • Jianhai Bao & Xing Huang, 2022. "Approximations of McKean–Vlasov Stochastic Differential Equations with Irregular Coefficients," Journal of Theoretical Probability, Springer, vol. 35(2), pages 1187-1215, June.
    • Handle: RePEc:spr:jotpro:v:35:y:2022:i:2:d:10.1007_s10959-021-01082-9
    DOI: 10.1007/s10959-021-01082-9
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    References listed on IDEAS

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    1. Wang, Feng-Yu, 2018. "Distribution dependent SDEs for Landau type equations," Stochastic Processes and their Applications, Elsevier, vol. 128(2), pages 595-621.
    2. Jianhai Bao & Xing Huang & Chenggui Yuan, 2019. "Convergence Rate of Euler–Maruyama Scheme for SDEs with Hölder–Dini Continuous Drifts," Journal of Theoretical Probability, Springer, vol. 32(2), pages 848-871, June.
    3. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
    4. Huang, Xing & Wang, Feng-Yu, 2019. "Distribution dependent SDEs with singular coefficients," Stochastic Processes and their Applications, Elsevier, vol. 129(11), pages 4747-4770.
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    Cited by:

    1. Yifan Bai & Xing Huang, 2023. "Log-Harnack Inequality and Exponential Ergodicity for Distribution Dependent Chan–Karolyi–Longstaff–Sanders and Vasicek Models," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1902-1921, September.

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