A Stochastic Particle Method with Random Weights for the Computation of Statistical Solutions of McKean-Vlasov Equations. Part II: Convergence Rate of The Method - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Reports (Research Report) Year : 2001

A Stochastic Particle Method with Random Weights for the Computation of Statistical Solutions of McKean-Vlasov Equations. Part II: Convergence Rate of The Method

Abstract

In the first part of this paper [7], we have proposed a stochastic particle method to compute statistical solutions of a McKean-Vlasov equation with random initial condition and we have empirically studied its convergence rate. In this second part, we estimate the convergence rate of our method in terms of the number of simulated particles and the time discretization step.
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Dates and versions

inria-00072260 , version 1 (23-05-2006)

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  • HAL Id : inria-00072260 , version 1

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Denis Talay, Olivier Vaillant. A Stochastic Particle Method with Random Weights for the Computation of Statistical Solutions of McKean-Vlasov Equations. Part II: Convergence Rate of The Method. [Research Report] RR-4327, INRIA. 2001, pp.27. ⟨inria-00072260⟩
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