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.
翻译:本文设计了一种完全可实现的数值方案,用于计算满足一致汇合性质的遍历McKean-Vlasov随机微分方程的不变分布。在自然条件下,我们证明了多种收敛性结果,特别获得了Wasserstein距离在二次均值意义下和几乎必然意义下的收敛速率。