






















In this paper, we first derive Milstein schemes for an interacting particle system associated with point delay McKean-Vlasov stochastic differential equations (McKean-Vlasov SDEs), possibly with a drift term exhibiting super-linear growth in the state component. We prove strong convergence of order one and moment stability, making use of techniques from variational calculus on the space of probability measures with finite second order moments. Then, we introduce an antithetic multilevel Milstein scheme, which leads to optimal complexity estimators for expected functionals of solutions to delay McKean-Vlasov equations without the need to simulate Lévy areas.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。