McKean-Vlasov limit for interacting systems with simultaneous jumps

DOI10.1080/07362994.2018.1486202MaRDI QIDQ4634147zbMATH OpenOpenAlexWikidataFDO

Authors Luisa Andreis, Paolo Dai Pra, Markus Fischer

Publication date 7 May 2019

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

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

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)

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 $mathbfD([0,T],mathbb{R}^d)$.

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Cited in

(27)

• Household epidemic models and McKean-Vlasov Poisson driven stochastic differential equations
• Barriers of the McKean-Vlasov energy via a mountain pass theorem in the space of probability measures
• Propagation of chaos for topological interactions
• \(\varepsilon\)-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps
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• Propagation of chaos for a general balls into bins dynamics
• Convergence in Monge-Wasserstein distance of mean field systems with locally Lipschitz coefficients
• Propagation of chaos: a review of models, methods and applications. II: Applications
• Propagation of chaos and conditional McKean-Vlasov SDEs with regime-switching
• Recursive tree processes and the mean-field limit of stochastic flows
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• On mean field systems with multi-classes
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• Analysis of large urn models with local mean-field interactions
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