A convergence-rate analysis of Euler and particle discretizations for McKean-Vlasov SDEs with common noise under Lipschitz and Holder assumptions, with weaker regularity than prior Milstein-type schemes.
Particle method and quantization-based schemes for the simulation of the McKean-Vlasov equation
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Particle Method for the McKean-Vlasov equation with common noise
A convergence-rate analysis of Euler and particle discretizations for McKean-Vlasov SDEs with common noise under Lipschitz and Holder assumptions, with weaker regularity than prior Milstein-type schemes.