Solving mean field rough differential equations
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Publication:2184580
DOI10.1214/19-EJP409zbMATH Open1464.60056arXiv1802.05882OpenAlexW3005002028MaRDI QIDQ2184580FDOQ2184580
Authors: I. Bailleul, R. Catellier, François Delarue 
Publication date: 29 May 2020
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Abstract: We provide in this work a robust solution theory for random rough differential equations of mean field type dX_t = V(X_t,mathcal{L}(X_t))dt + F(X_t,mathcal{L}(X_t))dW_t, where is a random rough path and stands for the law of , with mean field interaction in both the drift and diffusivity. The analysis requires the introduction of a new rough path-like setting and an associated notion of controlled path. We use crucially Lions' approach to differential calculus on Wasserstein space along the way.
Full work available at URL: https://arxiv.org/abs/1802.05882
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Cited In (17)
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- Small ball probabilities, metric entropy and Gaussian rough paths
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