Propagation of chaos and conditional McKean-Vlasov SDEs with regime-switching (Q2689713)

A particle system with mean field interaction living in a random environment characterized by a regime-switching process is investigated instead of Markovian switching. The switching process has some interesting features, among others it is allowed to be dependent on the particle system. The empirical measure of the mean field particle system with regime-switching converges in the \(L^1\)-Wasserstein distance to some random measure with explicitly convergent rate. The drifts of the particle system are regular.