Backward propagation of chaos
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Publication:2144343
BSDEconcentration of measureinteracting particles systemsMcKean-Vlasov BSDEPDEs on Wasserstein spacepropagation of chaos
Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Asymptotic behavior of solutions to PDEs (35B40) Semilinear parabolic equations (35K58) PDEs with randomness, stochastic partial differential equations (35R60) (L^p)-limit theorems (60F25) Stochastic integral equations (60H20) Diffusion processes (60J60)
Abstract: This paper develops a theory of propagation of chaos for a system of weakly interacting particles whose terminal configuration is fixed as opposed to the initial configuration as customary. Such systems are modeled by backward stochastic differential equations. Under standard assumptions on the coefficients of the equations, we prove propagation of chaos results and quantitative estimates on the rate of convergence in Wasserstein distance of the empirical measure of the interacting system to the law of a McKean-Vlasov type equation. These results are accompanied by non-asymptotic concentration inequalities. As an application, we derive rate of convergence results for solutions of second order semilinear partial differential equations to the solution of a partial differential written on an infinite dimensional space.
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