Strong convergence order for slow-fast McKean-Vlasov stochastic differential equations

DOI10.1214/20-AIHP1087zbMath1491.60088arXiv1909.07665OpenAlexW3136077900WikidataQ115240805 ScholiaQ115240805MaRDI QIDQ2041807

Xiaobin Sun, Yingchao Xie, Michael Roeckner

Publication date: 23 July 2021

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.07665

zbMATH Keywords

Poisson equationaveraging principleslow-fastMcKean-Vlasov stochastic differential equationsstrong convergence order

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Related Items (22)

Near Optimality of Stochastic Control for Singularly Perturbed McKean--Vlasov Systems ⋮ Quantified overdamped limit for kinetic Vlasov-Fokker-Planck equations with singular interaction forces ⋮ Rate of homogenization for fully-coupled McKean–Vlasov SDEs ⋮ Small noise asymptotics of multi-scale McKean-Vlasov stochastic dynamical systems ⋮ Strong averaging principle for a class of slow-fast singular SPDEs driven by \(\alpha\)-stable process ⋮ A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations ⋮ Central limit type theorem and large deviation principle for multi-scale McKean-Vlasov SDEs ⋮ Functional law of large numbers and central limit theorem for slow-fast McKean-Vlasov equations ⋮ On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions ⋮ Strong convergence rate of the averaging principle for a class of slow–fast stochastic evolution equations ⋮ Orders of strong and weak averaging principle for multi-scale SPDEs driven by \(\alpha \)-stable process ⋮ A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion ⋮ Well-posedness and averaging principle of McKean-Vlasov SPDEs driven by cylindrical α-stable process ⋮ Poisson Equation on Wasserstein Space and Diffusion Approximations for Multiscale McKean–Vlasov Equation ⋮ Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations ⋮ Strong and weak convergence for the averaging principle of DDSDE with singular drift ⋮ Strong convergence rate for slow-fast stochastic differential equations with Markovian switching ⋮ Large deviation principle for multi-scale distribution-dependent stochastic differential equations driven by fractional Brownian motions ⋮ Averaging Principle for Two Time-Scales Stochastic Partial Differential Equations with Reflection ⋮ Strong and weak convergence rates for slow-fast stochastic differential equations driven by \(\alpha \)-stable process ⋮ Optimal strong convergence rate for a class of McKean-Vlasov SDEs with fast oscillating perturbation ⋮ Large deviations for interacting multiscale particle systems

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