Rate of convergence for particle approximation of PDEs in Wasserstein space

DOI10.1017/jpr.2021.102zbMath1501.35449arXiv2103.00837OpenAlexW4200629352WikidataQ114118015 ScholiaQ114118015MaRDI QIDQ5049892

Huyên Pham, Maximilien Germain, Xavier Warin

Publication date: 14 November 2022

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

Full work available at URL: https://arxiv.org/abs/2103.00837

zbMATH Keywords

backward stochastic differential equationsmaster equationparticle approximationcommon noiseWasserstein spacemean-field control

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) Games with infinitely many players (91A07) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) PDEs with measure (35R06)

Related Items (5)

Regularity of the value function and quantitative propagation of chaos for mean field control problems ⋮ An Algebraic Convergence Rate for the Optimal Control of McKean–Vlasov Dynamics ⋮ Quantitative propagation of chaos for mean field Markov decision process with common noise ⋮ Importance sampling for the empirical measure of weakly interacting diffusions ⋮ Mean field control and finite agent approximation for regime-switching jump diffusions

Cites Work

• On the rate of convergence in Wasserstein distance of the empirical measure
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• Finite Dimensional Approximations of Hamilton--Jacobi--Bellman Equations in Spaces of Probability Measures

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