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Chaman Kumar (Indian Institute of Technology, Roorkee)
Date & Time
Thu, 28 January 2021, 15:30 to 17:00
Online seminar

First, we establish well-posedness (using a fixed point argument) and propagation of chaos for the Mckean-Vlasov stochastic differential equations (MV-SDEs), possibly with super-linearly growing coefficients. Then, we propose two new explicit tamed schemes, namely the Euler-type scheme  and the Milstein-type scheme for the interacting particle system connected with the MV-SDEs having super-linearly growing coefficients. Their rates of strong convergence are shown to be equal to 1/2 and 1 respectively. Finally, theoretical rates of convergence are demonstrated through numerical simulations. 

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Meeting ID: 917 8281 6944

Passcode: 503063