Xu Sun

Convergence of Densities for the Euler--Maruyama Approximation of Brownian-Driven McKean--Vlasov Equations

Convergence of the transition density of the Euler-Maruyama scheme for a Brownian-driven McKean-Vlasov stochastic differential equation is established, the coefficients being uniformly elliptic, spatially smooth, and Lipschitz with respect to the law in the 2-Wasserstein distance. The density p_n of the n-step scheme i...