A class of dimension-free metrics for the convergence of empirical measures

DOI10.1016/J.SPA.2023.07.009zbMath1522.60015arXiv2104.12036OpenAlexW4384700180MaRDI QIDQ6072907

Jiequn Han, Jihao Long, Ruimeng Hu

Publication date: 15 September 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.12036

zbMATH Keywords

curse of dimensionalityempirical measuremean-field gamesintegral probability metricsMckean-Vlasov stochastic differential equation

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Convergence of probability measures (60B10) Mean field games (aspects of game theory) (91A16)

Related Items (1)

Learning High-Dimensional McKean–Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence

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