Empirical approximation to invariant measures for McKean-Vlasov processes: mean-field interaction vs self-interaction
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Publication:6103256
invariant measuresempirical measuresWasserstein distancesapproximating measuresMcKean-Vlasov processes
Probability measures on topological spaces (60B05) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Limit theorems in probability theory (60F99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Abstract: This paper proves that, under a monotonicity condition, the invariant probability measure of a McKean--Vlasov process can be approximated by weighted empirical measures of some processes including itself. These processes are described by distribution dependent or empirical measure dependent stochastic differential equations constructed from the equation for the McKean--Vlasov process. Convergence of empirical measures is characterized by upper bound estimates for their Wasserstein distance to the invariant measure. The theoretical results are demonstrated via a mean-field Ornstein--Uhlenbeck process.
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