Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean

O. Bencheikh, B. Jourdain, B. Bouchard, J.-F. Chassagneux, F. Delarue, E. Gobet, J. Lelong
2019 ESAIM Proceedings and Surveys  
In this paper, we prove that the weak error between a stochastic differential equation with nonlinearity in the sense of McKean given by moments and its approximation by the Euler discretization with time-step h of a system of N interacting particles is 𝒪(N-1+h). We provide numerical experiments confirming this behaviour and showing that it extends to more general mean-field interaction and study the efficiency of the antithetic sampling technique on the same examples.
doi:10.1051/proc/201965219 fatcat:zz5pfxt3tjbadkviqmfossjf5m