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Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation
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We design a fully implementable scheme to compute the invariant distribution of ergodic McKean-Vlasov SDE satisfying a uniform confluence property. Under natural conditions, we prove various convergence results notably we obtain rates for the Wasserstein distance in quadratic mean and almost sure sense.
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Cited by 3 Pith papers
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Cylindrical Projections of Occupied Diffusions
Replacing the occupation measure by K cylindrical coordinates in a partition of unity gives strongly convergent (O(1/K)) finite-dimensional SDE approximations of occupied diffusions.
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A note on the $\mathcal{W}_2$-convergence rate of the empirical measure of an ergodic $\mathbb{R}^d$-valued diffusion
For strongly contractive ergodic diffusions, the empirical measure converges to the invariant law in Wasserstein-2 distance at rate t^{-1/(2(d+3))} up to logarithms, with matching almost-sure versions.
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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.
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