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Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean--Vlasov SDEs and associated particle systems

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arxiv 2302.05133 v5 pith:D3NTFMTC submitted 2023-02-10 math.PR cs.NAmath.NA

classification math.PRcs.NAmath.NA
keywords super-lineargrowthmeasureergodicityerrorexponentialfurthermckean--vlasov
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abstract

We study a class of McKean--Vlasov Stochastic Differential Equations (MV-SDEs) with drifts and diffusions having super-linear growth in measure and space -- the maps have general polynomial form but also satisfy a certain monotonicity condition. The combination of the drift's super-linear growth in measure (by way of a convolution) and the super-linear growth in space and measure of the diffusion coefficient requires novel technical elements in order to obtain the main results. We establish wellposedness, propagation of chaos (PoC), and under further assumptions on the model parameters, we show an exponential ergodicity property alongside the existence of an invariant distribution. No differentiability or non-degeneracy conditions are required. Further, we present a particle system based Euler-type split-step scheme (SSM) for the simulation of this type of MV-SDEs. The scheme attains, in stepsize, the strong error rate $1/2$ in the non-path-space root-mean-square error metric and we demonstrate the property of mean-square contraction. Our results are illustrated by numerical examples including: estimation of PoC rates across dimensions, preservation of periodic phase-space, and the observation that taming appears to be not a suitable method unless strong dissipativity is present.

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Cited by 2 Pith papers

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. Multilevel Picard approximations for McKean-Vlasov stochastic differential equations with nonconstant diffusion

    math.NA 2025-02 conditional novelty 6.0 of 10

    An MLP algorithm that stores entire solution paths approximates distribution-dependent SDEs with nonconstant diffusion in L2 with cost polynomial in dimension and inverse tolerance.

  2. On modified Euler methods for McKean-Vlasov stochastic differential equations with super-linear coefficients

    math.NA 2025-02 conditional novelty 5.0 of 10

    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.

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