Weak and strong error analysis for mean-field rank-based particle approximations of one-dimensional viscous scalar conservation laws

Publication date: 20 December 2022

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.11237

zbMATH Keywords

propagation of chaos mean-field interaction weak error analysis rank-based model

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)

Related Items (1)

Large Sample Mean-Field Stochastic Optimization

Cites Work

Unnamed Item
Unnamed Item
Optimal convergence rate of the multitype sticky particle approximation of one-dimensional diagonal hyperbolic systems with monotonic initial data
Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation
Propagation of chaos and Poincaré inequalities for a system of particles interacting through their CDF
Optimal surviving strategy for drifted Brownian motions with absorption
SPDE limit of the global fluctuations in rank-based models
Probabilistic characteristics method for a one-dimensional inviscid scalar conservation law
Probabilistic approximation for a porous medium equation.
Approximation rate in Wasserstein distance of probability measures on the real line by deterministic empirical measures
Weak quantitative propagation of chaos via differential calculus on the space of measures
From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs
A new approach to quantitative propagation of chaos for drift, diffusion and jump processes
The small noise limit of order-based diffusion processes
Atlas models of equity markets
Probabilistic approximation and inviscid limits for one-dimensional fractional conservation laws
Triple and simultaneous collisions of competing Brownian particles
Convergence rate for the approximation of the limit law of weakly interacting particles: Application to the Burgers equation
The stochastic Fubini theorem revisited
ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
Optimal rate of convergence of a stochastic particle method to solutions of 1D viscous scalar conservation laws
Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean
One-dimensional empirical measures, order statistics, and Kantorovich transport distances

This page was built for publication: Weak and strong error analysis for mean-field rank-based particle approximations of one-dimensional viscous scalar conservation laws