A general class of modified Euler methods, including tanh and sin Euler schemes, is shown to converge with strong order 1/2 for McKean-Vlasov SDEs with super-linear coefficients.
Mean field games and mean field type control theory , volume 101
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On modified Euler methods for McKean-Vlasov stochastic differential equations with super-linear coefficients
A general class of modified Euler methods, including tanh and sin Euler schemes, is shown to converge with strong order 1/2 for McKean-Vlasov SDEs with super-linear coefficients.