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

Wasserstein spacebackward stochastic differential equationsparticle approximationmaster equationcommon noisemean-field control

Mathematics Subject Classification ID

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

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

(11)

• An Algebraic Convergence Rate for the Optimal Control of McKean–Vlasov Dynamics
• Importance sampling for the empirical measure of weakly interacting diffusions
• A finite-dimensional approximation for partial differential equations on Wasserstein space
• Quantitative propagation of chaos for mean field Markov decision process with common noise
• Mean field control and finite agent approximation for regime-switching jump diffusions
• 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
• Well-posedness for Hamilton-Jacobi equations on the Wasserstein space on graphs
• Regularity of the value function and quantitative propagation of chaos for mean field control problems
• On the optimal rate for the convergence problem in mean field control
• From finite population optimal stopping to mean field optimal stopping

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