scholarly journals First-order convergence of Milstein schemes for McKean–Vlasov equations and interacting particle systems

2021 ◽  
Vol 477 (2245) ◽  
pp. 20200258
Author(s):  
Jianhai Bao ◽  
Christoph Reisinger ◽  
Panpan Ren ◽  
Wolfgang Stockinger
Keyword(s):  
Strong Convergence ◽  
Convergence Rates ◽  
Interacting Particle Systems ◽  
Particle System ◽  
First Order ◽  
Time Stepping ◽  
Vlasov Equations ◽  
Interacting Particle ◽  
Moment Stability ◽  
Strong Convergence Rates

In this paper, we derive fully implementable first-order time-stepping schemes for McKean–Vlasov stochastic differential equations, allowing for a drift term with super-linear growth in the state component. We propose Milstein schemes for a time-discretized interacting particle system associated with the McKean–Vlasov equation and prove strong convergence of order 1 and moment stability, taming the drift if only a one-sided Lipschitz condition holds. To derive our main results on strong convergence rates, we make use of calculus on the space of probability measures with finite second-order moments. In addition, numerical examples are presented which support our theoretical findings.

Explicit sufficient invariants for an interacting particle system

1998 ◽  
Vol 35 (3) ◽  
pp. 633-641 ◽  
Author(s):  
Yoshiaki Itoh ◽  
Colin Mallows ◽  
Larry Shepp
Keyword(s):  
Markov Chain ◽  
Finite Time ◽  
Interacting Particle Systems ◽  
Particle System ◽  
Particle Systems ◽  
The Other ◽  
New Class ◽  
Interacting Particle ◽  
Death State ◽  
Number Of Particles

We introduce a new class of interacting particle systems on a graph G. Suppose initially there are Ni(0) particles at each vertex i of G, and that the particles interact to form a Markov chain: at each instant two particles are chosen at random, and if these are at adjacent vertices of G, one particle jumps to the other particle's vertex, each with probability 1/2. The process N enters a death state after a finite time when all the particles are in some independent subset of the vertices of G, i.e. a set of vertices with no edges between any two of them. The problem is to find the distribution of the death state, ηi = Ni(∞), as a function of Ni(0).We are able to obtain, for some special graphs, the limiting distribution of Ni if the total number of particles N → ∞ in such a way that the fraction, Ni(0)/S = ξi, at each vertex is held fixed as N → ∞. In particular we can obtain the limit law for the graph S2, the two-leaf star which has three vertices and two edges.

Interacting particle systems approximations of the Kushner-Stratonovitch equation

1999 ◽  
Vol 31 (3) ◽  
pp. 819-838 ◽  
Author(s):  
D. Crişan ◽  
P. Del Moral ◽  
T. J. Lyons
Keyword(s):  
Continuous Time ◽  
Order Of Convergence ◽  
Interacting Particle Systems ◽  
Particle System ◽  
Particle Systems ◽  
Interacting Particle System ◽  
Order Convergence ◽  
Interacting Particle ◽  
Convergence Results ◽  
Filtering Problem

In this paper we consider the continuous-time filtering problem and we estimate the order of convergence of an interacting particle system scheme presented by the authors in previous works. We will discuss how the discrete time approximating model of the Kushner-Stratonovitch equation and the genetic type interacting particle system approximation combine. We present quenched error bounds as well as mean order convergence results.

Estimation of critical values in interacting particle systems

2000 ◽  
Vol 37 (01) ◽  
pp. 118-125
Author(s):  
Raúl Gouet ◽  
F. Javier López ◽  
Gerardo Sanz
Keyword(s):  
Computer Simulation ◽  
Asymptotic Behaviour ◽  
Interacting Particle Systems ◽  
Particle System ◽  
Particle Systems ◽  
Critical Values ◽  
Interacting Particle System ◽  
Absorption Time ◽  
Interacting Particle ◽  
Absorbing State

The estimation of critical values is one of the most interesting problems in the study of interacting particle systems. The bounds obtained analytically are not usually very tight and, therefore, computer simulation has been proved to be very useful in the estimation of these values. In this paper we present a new method for the estimation of critical values in any interacting particle system with an absorbing state. The method, based on the asymptotic behaviour of the absorption time of the process, is very easy to implement and provides good estimates. It can also be applied to processes different from particle systems.

Explicit sufficient invariants for an interacting particle system

1998 ◽  
Vol 35 (03) ◽  
pp. 633-641 ◽  
Author(s):  
Yoshiaki Itoh ◽  
Colin Mallows ◽  
Larry Shepp
Keyword(s):  
Markov Chain ◽  
Finite Time ◽  
Interacting Particle Systems ◽  
Particle System ◽  
Particle Systems ◽  
The Other ◽  
New Class ◽  
Interacting Particle ◽  
Death State ◽  
Number Of Particles

We introduce a new class of interacting particle systems on a graph G. Suppose initially there are N i (0) particles at each vertex i of G, and that the particles interact to form a Markov chain: at each instant two particles are chosen at random, and if these are at adjacent vertices of G, one particle jumps to the other particle's vertex, each with probability 1/2. The process N enters a death state after a finite time when all the particles are in some independent subset of the vertices of G, i.e. a set of vertices with no edges between any two of them. The problem is to find the distribution of the death state, η i = N i (∞), as a function of N i (0). We are able to obtain, for some special graphs, the limiting distribution of N i if the total number of particles N → ∞ in such a way that the fraction, N i (0)/S = ξ i , at each vertex is held fixed as N → ∞. In particular we can obtain the limit law for the graph S 2, the two-leaf star which has three vertices and two edges.

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