Approximations of the Euler-Maruyama Method of Conditional McKean-Vlasov SDEs with Markovian Switching
Huijie Ji, Yuhang Zhen
2024, v.30, Issue 3, 427-439
ABSTRACT
We investigate the conditional McKean-Vlasov stochastic differential equations with Markovian switching. Under suitable conditions, we adopt Euler-Maruyama method to deal with the convergence of numerical solutions of the corresponding stochastic differential equations. More precisely, the key aim is to show that the convergence rates using L^2-Wasserstein distance on the Wasserstein space under the global Lipschitz condition and the local Lipschitz condition.
doi:10.61102/1024-2953-mprf.2024.30.3.003
Keywords: markovian switching, rate of convergence, Euler-Maruyama method, conditional McKean-Vlasov
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