The tamed Euler–Maruyama approximation of Mckean–Vlasov stochastic differential equations and asymptotic error analysis

By a semi-discrete tamed Euler approximation as a bridge, this paper examines the tamed Euler scheme for the Mckean-Vlasov stochastic differential equations (SDEs) and obtains the convergence rate under the one-sided Lipschitz condition for the drift coefficient. Under the local Lipschitz condition for the drift coefficient, the strong convergence of the tamed scheme is also examined. When the coefficients satisfy the Lipschitz condition, this paper also obtains the asymptotic error distribution.