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Itô-Taylor Schemes for Solving Mean-Field Stochastic Differential Equations

  • Yabing Sun (a1), Jie Yang (a1) and Weidong Zhao (a1)

This paper is devoted to numerical methods for mean-field stochastic differential equations (MSDEs). We first develop the mean-field Itô formula and mean-field Itô-Taylor expansion. Then based on the new formula and expansion, we propose the Itô-Taylor schemes of strong order γ and weak order η for MSDEs, and theoretically obtain the convergence rate γ of the strong Itô-Taylor scheme, which can be seen as an extension of the well-known fundamental strong convergence theorem to the mean-field SDE setting. Finally some numerical examples are given to verify our theoretical results.

Corresponding author
*Corresponding author. Email addresses: (Y. B. Sun), (J. Yang), (W. D. Zhao)
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Numerical Mathematics: Theory, Methods and Applications
  • ISSN: 1004-8979
  • EISSN: 2079-7338
  • URL: /core/journals/numerical-mathematics-theory-methods-and-applications
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