Empirical approximation to invariant measures for McKean-Vlasov processes: mean-field interaction vs self-interaction

DOI10.3150/22-BEJ1550zbMATH Open1517.60006arXiv2112.14112MaRDI QIDQ6103256FDOQ6103256

Authors: Kai Du, Yifan Jiang, Jinfeng Li 

Publication date: 2 June 2023

Published in: Bernoulli (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2112.14112

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zbMATH Keywords

invariant measuresempirical measuresWasserstein distancesapproximating measuresMcKean-Vlasov processes

Mathematics Subject Classification ID

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)

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Cited In (2)

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• Barriers of the McKean-Vlasov energy via a mountain pass theorem in the space of probability measures

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