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On Ergodic Measures for McKean-Vlasov Stochastic Equations

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Monte Carlo and Quasi-Monte Carlo Methods 2004

Summary

Conditions for existence and uniqueness of invariant measures and weak convergence to these measures for stochastic McKean-Vlasov equations have been established, along with similar approximation results and a new version of existence and uniqueness of strong solutions to these equations.

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Author information

Authors and Affiliations

  1. School of Mathematics, University of Leeds, UK

    A. Yu. Veretennikov

  2. Institute of Information Transmission Problems, Russia

    A. Yu. Veretennikov

Authors
  1. A. Yu. Veretennikov
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Editor information

Editors and Affiliations

  1. Department of Mathematics, National University of Singapore, 2 Science Drive 2, Singapore, 117543, Republic of Singapore

    Harald Niederreiter

  2. INRIA Sophia Antipolis, route des lucioles 2004, 06902, Sophia Antipolis Cedex, France

    Denis Talay

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Veretennikov, A.Y. (2006). On Ergodic Measures for McKean-Vlasov Stochastic Equations. In: Niederreiter, H., Talay, D. (eds) Monte Carlo and Quasi-Monte Carlo Methods 2004. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-31186-6_29

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