Convergence rate of Euler-Maruyama scheme for McKean-Vlasov SDEs with density-dependent drift

Résumé

In this paper, we study weak well-posedness of a McKean-Vlasov stochastic differential equations (SDEs) whose drift is density-dependent and whose diffusion is constant. The existence part is due to Hölder stability estimates of the associated Euler-Maruyama scheme. The uniqueness part is due to that of the associated Fokker-Planck equation. We also obtain convergence rate in weighted L1 norm for the Euler-Maruyama scheme.

Mots-clés

Remplacé par

Anh-Dung Le et Stéphane Villeneuve, « Convergence rate of Euler-Maruyama scheme for McKean-Vlasov SDEs with density-dependent drift », Stochastics and Dynamics, 2026, à paraître.

Référence

Anh-Dung Le et Stéphane Villeneuve, « Convergence rate of Euler-Maruyama scheme for McKean-Vlasov SDEs with density-dependent drift », TSE Working Paper, n° 26-1768, mai 2026.