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June 19, 2024Open Access

Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation

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Authors

JCJean-François ChassagneuxGPGilles Pagès

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Overview

Ergodic simulation computes the invariant distribution of McKean-Vlasov SDEs, suggesting effective convergence methods.

Key Points

  • Invariance is achieved through a new scheme that computes the invariant distribution effectively, enhancing existing methods.
  • Key convergence results show rates for the Wasserstein distance in quadratic mean, ensuring reliability and precision.
  • The approach utilizes ergodic simulation to handle McKean-Vlasov SDEs, focusing on those with a uniform confluence property for accuracy of outcomes and computations. If adopted broadly, these methods can greatly influence how stochastic differential equations are approached in various fields.

Cite This Study

Chassagneux et al. (2024) studied this question.

synapsesocial.com/papers/68e642a2b6db6435875d45b6https://doi.org/10.48550/arxiv.2406.13370
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