2000 character limit reached
Euler's scheme of Mckean-Vlasov SDEs with non-Lipschitz coefficients (2202.08422v1)
Published 17 Feb 2022 in math.PR
Abstract: In this paper, we show the strong well-posedness of Mckean-Vlasov SDEs with non-Lipschitz coefficients. Moreover, propagation of chaos and the convergence rate for Euler's scheme of Mckean-Vlasov SDEs are also obtained.