Monotone convex order for the McKean-Vlasov processes

DOI10.1016/J.SPA.2022.06.003MaRDI QIDQ2169075zbMATH OpenOpenAlexFDO

Authors Yating Liu, Gilles Pagès

Publication date 29 August 2022

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

Full work available at URL https://arxiv.org/abs/2104.10421

zbMATH Keywords

convex orderMcKean-Vlasov processmonotone convex ordertruncated Euler scheme

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Abstract: In this paper, we establish the monotone convex order between two $mathbbR$-valued McKean-Vlasov processes $X=(X_t{)}_{tin[0,T]}$ and $Y=(Y_t{)}_{tin[0,T]}$ defined on a filtered probability space $(Omega,mathcalF,(mathcal{F}_t{)}_{tgeq0},mathbbP)$ by �egin{align} &dX_{t}=b(t, X_{t}, mu_{t})dt+sigma(t, X_{t}, mu_{t})dB_{t}, quad X_{0}in L^{p}(mathbb{P}); ext{with}; pgeq 2,

onumber\ &dY_{t}=�eta(t, Y_{t}, u_{t})dt+ heta(t, ,Y_{t}, u_{t}),dB_{t}, ,quad Y_{0}in L^{p}(mathbb{P}),

onumber end{align} where $forall,tin[0,T],:m{u}_t=mathbbPcirc{X}_t^{-1},:u_t=mathbbPcirc{Y}_t^{-1}.$ If we make the convexity and monotony assumption (only) on $b$ and $|sigma|$ and if $$ and $|sigma|leq|heta|$, then the monotone convex order for the initial random variable $X_{0}prece{q}_{,extmcv}{Y}_0$ can be propagated to the whole path of processes $X$ and $Y$. That is, if we consider a non-decreasing convex functional $F$ defined on the path space with polynomial growth, we have $mathbbE,F(X)leqmathbbE,F(Y)$; for a non-decreasing convex functional $G$ defined on the product space involving the path space and its marginal distribution space, we have $mathbbE,G(X,(m{u}_t{)}_{tin[0,T]})leqmathbbE,G(Y,(u_t{)}_{tin[0,T]})$ under appropriate conditions. The symmetric setting is also valid, that is, if $Y_{0}prece{q}_{,extmcv}{X}_0$ and $|heta|leq|sigma|$, then $mathbbE,F(Y)leqmathbbE,F(X)$ and $mathbbE,G(Y,(u_t{)}_{tin[0,T]})leqmathbbE,G(X,(m{u}_t{)}_{tin[0,T]})$. The proof is based on several forward and backward dynamic programming principle and the convergence of the truncated Euler scheme of the McKean-Vlasov equation.

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Cited in

(6)

• Functional convex order for the scaled McKean-Vlasov processes
• Convex ordering for stochastic Volterra equations and their Euler schemes
• Convex ordering for stochastic control: the (path dependent) swing contracts case
• Adapted Wasserstein distance between the laws of SDEs
• Convex comparison of Gaussian mixtures
• Bicausal optimal transport for SDEs with irregular coefficients

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