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

Denis Talay 1 Olivier Vaillant 1
1 OMEGA - Probabilistic numerical methods
CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, CNRS - Centre National de la Recherche Scientifique : UMR7502
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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Submitted on : Tuesday, May 23, 2006 - 8:15:04 PM
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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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