McKean-Vlasov limit for interacting systems with simultaneous jumps

DOI10.1080/07362994.2018.1486202zbMATH Open1420.60042arXiv1704.01052OpenAlexW2963813212WikidataQ128962393 ScholiaQ128962393MaRDI QIDQ4634147FDOQ4634147

Authors: Luisa Andreis, Paolo Dai Pra, Markus Fischer 

Publication date: 7 May 2019

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Abstract: Motivated by several applications, including neuronal models, we consider the McKean-Vlasov limit for mean-field systems of interacting diffusions with simultaneous jumps. We prove propagation of chaos via a coupling technique that involves an intermediate process and that gives a rate of convergence for the $W_1$ Wasserstein distance between the empirical measures of the two systems on the space of trajectories $mathbfD([0,T],mathbb{R}^d)$.

Full work available at URL: https://arxiv.org/abs/1704.01052

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zbMATH Keywords

propagation of chaosmean field interactionMcKean-Vlasov limitsimultaneous jumpsItô-Skorohod stochastic differential equation

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (27)

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