Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation
<|reference_start|>Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation: We design a fully implementable scheme to compute the invariant distribution of ergodic McKean-Vlasov SDE satisfying a uniform confluence property. Under natural conditions, we prove various convergence results notably we obtain rates for the Wasserstein distance in quadratic mean and almost sure sense.<|reference_end|>
@article{chassagneux2024computing,
    title={Computing the invariant distribution of McKean-Vlasov SDEs by ergodic
  simulation},
    author={Jean-Franc{c}ois Chassagneux and Gilles Pag`es},
    journal={arXiv preprint arXiv:2406.13370},
    year={2024},
    archivePrefix={arXiv},
    eprint={2406.13370},
    primaryClass={math.PR cs.NA math.NA}
}