Approximations of the Euler-Maruyama Method of Conditional McKean-Vlasov SDEs with Markovian Switching

被引：0

作者：

Zhen, Yuhang ^{[1
]}

Ji, Huijie ^{[2
]}

机构：

[1] Zhejiang Univ Water Resources & Elect Power, Sch Comp Sci & Technol, Hangzhou, Peoples R China

[2] Shanxi Normal Univ, Sch Math & Comp Sci, Taiyuan 030000, Shanxi, Peoples R China

来源：

MARKOV PROCESSES AND RELATED FIELDS | 2024年 / 30卷 / 03期

关键词：

markovian switching; rate of convergence; Euler-Maruyama method; conditional McKean-Vlasov; STOCHASTIC DIFFERENTIAL-EQUATIONS;

D O I：

10.61102/1024-2953-mprf.2024.30.3.003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We investigate the conditional McKean-Vlasov stochastic differential equations with Markovian switching. Under suitable conditions, we adopt Euler-Maruyama method to deal with the convergence of numerical solutions of the corresponding stochastic differential equations. More precisely, the key aim is to show that the convergence rates usingL2-Wasserstein distance on the Wasserstein space under the global Lipschitz condition and the local Lipschitz condition

引用

页码：427 / 439

页数：104

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