From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs

DOI10.1016/j.matpur.2021.10.010zbMath1481.60105arXiv1907.01410OpenAlexW3207718143WikidataQ114148605 ScholiaQ114148605MaRDI QIDQ2246808

Noufel Frikha, Paul-Eric Chaudru De Raynal

Publication date: 16 November 2021

Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.01410

zbMATH Keywords

propagation of chaosWasserstein spaceMcKean-Vlasov stochastic differential equationsbackward Kolmogorov partial differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic systems in control theory (general) (93E03) Second-order parabolic systems (35K40)

Related Items

Rate of homogenization for fully-coupled McKean–Vlasov SDEs ⋮ Superposition and mimicking theorems for conditional McKean-Vlasov equations ⋮ Pathwise regularisation of singular interacting particle systems and their mean field limits ⋮ Propagation of chaos: a review of models, methods and applications. II: Applications ⋮ Weak and strong error analysis for mean-field rank-based particle approximations of one-dimensional viscous scalar conservation laws

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