Rate of convergence for particle approximation of PDEs in Wasserstein space

DOI10.1017/JPR.2021.102MaRDI QIDQ5049892zbMATH OpenOpenAlexWikidataFDO

Authors Maximilien Germain, Huyên Pham, Xavier Warin

Publication date 14 November 2022

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2103.00837

zbMATH Keywords

backward stochastic differential equationscommon noisemaster equationmean-field controlparticle approximationWasserstein space

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) PDEs with measure (35R06) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Games with infinitely many players (91A07)

Abstract: We prove a rate of convergence for the $N$-particle approximation of a second-order partial differential equation in the space of probability measures, like the Master equation or Bellman equation of mean-field control problem under common noise. The rate is of order $1/N$ for the pathwise error on the solution $v$ and of order $1/sqrtN$ for the $L^2$-error on its $L$-derivative $partia{l}_{m}uv$. The proof relies on backward stochastic differential equations techniques.

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Cited in

(19)

• Regularity of the value function and quantitative propagation of chaos for mean field control problems
• Rate of Convegence of a Stochastic Particle Method for the Kolmogorov Equation with Variable Coefficients
• Convergence of a particle approximation for the quasi-stationary distribution of a diffusion process: Uniform estimates in a compact soft case
• An Algebraic Convergence Rate for the Optimal Control of McKean–Vlasov Dynamics
• Quantitative propagation of chaos for mean field Markov decision process with common noise
• Importance sampling for the empirical measure of weakly interacting diffusions
• Mean field control and finite agent approximation for regime-switching jump diffusions
• Well-posedness for Hamilton-Jacobi equations on the Wasserstein space on graphs
• A finite-dimensional approximation for partial differential equations on Wasserstein space
• From finite population optimal stopping to mean field optimal stopping
• On the optimal rate for the convergence problem in mean field control
• Comparison for semi-continuous viscosity solutions for second order PDEs on the Wasserstein space
• Finite dimensional projections of HJB equations in the Wasserstein space
• On the limit theory of mean field optimal stopping with non-Markov dynamics and common noise
• Approximately optimal distributed stochastic controls beyond the mean field setting
• Convergence rate of particle system for second-order PDEs on Wasserstein space
• Deep backward and Galerkin methods for the finite state master equation
• Viscosity solutions of fully second-order HJB equations in the Wasserstein space
• Particle approximation for conditional control with soft killing

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